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Econometric S

The document discusses the Gauss-Markov theorem which states that under the assumptions of the classical linear regression model, the least squares estimators are the best linear unbiased estimators (BLUE) with minimum variance. An estimator is BLUE if it is linear, unbiased where its expected value equals the parameter being estimated, and efficient meaning it has minimum variance. The document provides this definition and context around the Gauss-Markov theorem and asks the reader to prove that b1^ is also BLUE following a similar approach as outlined in an attached PDF.

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SrikarPolasanapalli
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21 views

Econometric S

The document discusses the Gauss-Markov theorem which states that under the assumptions of the classical linear regression model, the least squares estimators are the best linear unbiased estimators (BLUE) with minimum variance. An estimator is BLUE if it is linear, unbiased where its expected value equals the parameter being estimated, and efficient meaning it has minimum variance. The document provides this definition and context around the Gauss-Markov theorem and asks the reader to prove that b1^ is also BLUE following a similar approach as outlined in an attached PDF.

Uploaded by

SrikarPolasanapalli
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PPTX, PDF, TXT or read online on Scribd
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ECONOMETRICS

Srikar
2011B3A3497G

Gauss-Markov Theorem
Given the assumptions of the classical linear
regression model, the least-square estimators,
in the class of unbiased linear estimators, have
minimum variance, that is they are BLUE(Best
Linear Unbiased Estimator)

An estimator is said to be BLUE, if the


following hold
It is linear, that is, a linear function of a random
variable, such as the dependent variable Y in the
regression model.(b^=ciYi)
It is unbiased (e(b^)=b)
It is efficient (minimum variance)

Proof :- (go through the attached pdf)


Try to prove that b1^ is BLUE on similar lines.

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