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Results tagged with regression
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user 11697
Techniques for analyzing the relationship between one (or more) "dependent" variables and "independent" variables.
11
votes
2
answers
3k
views
Gauss-Markov theorem: BLUE and OLS
I'm reading up on the Guass-Markov theorem on wikipedia, and I was hoping somebody could help me figure out the main point of the theorem.
We assume a linear model, in matrix form, is given by:
$$ y …
- 852
0
votes
Accepted
Gauss-Markov theorem: BLUE and OLS
It seems my hunch was correct indeed, as confirmed, e.g. on page 375 of the book
Introductory Econometrics. Relevant excerpt:
- 852
10
votes
1
answer
3k
views
Is the OLS estimator the UMVUE (assuming Normality)?
Suppose
$$
\mathbf{y} = \mathbf{X} \mathbf{b} + \mathbf{e} \, ,
\\
\mathbf{e} \sim \mathcal{N}(0,\mathbf{I}_P) \, .
$$
We know that $\mathbf{\hat{b}} = (\mathbf{X}^T \mathbf{X})^{-1} \mathbf{X}^T \m …
- 852