2
$\begingroup$

"Although it is nice to have an unbiased estimator of the variance, we do not really need it to understand the relation between our independent variable and our dependent variable. Why?"

I think I kind of get it, but he wants a specific answer, and he picks on me...

$\endgroup$
1
  • 7
    $\begingroup$ You could describe what you thought about the topic this far and the implicit ideas that made you "kind of get it". We can help you make it more explicit. Presumably you are talking about a linear model? $\endgroup$
    – Momo
    Nov 17, 2012 at 16:31

1 Answer 1

1
$\begingroup$

Depends on what your end goal is. It the end goal is inference on regression coefficients (t-tests) then the unbiased variance estimator is just a stepping stone, and unimportant in itself.

But for some uses of the estimated model, the error variance is important information, and for such uses an unbiased variance estimator could be useful.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.