计量经济学(英文版)

AppendixofstatisticsinferenceXi’AnInstituteofPost&TelecommunicationDeptofEconomic&ManagementProf.Long1BLUEEstimator•Gauss–MarkovTheorem:Giventheassumptionsoftheclassicallinearregressionmodel,theleast-squaresestimators,intheclassofUnbiasedlinearestimators,haveminimumvariance,thatis,theyareBLUE.1.2MINIMUM-VARIANCEPROPERTYOFLEAST-SQUARESESTIMATORSTheleast-squaresestimatorb2islinearaswellasunbiased(thisholdstrueofb1too).Toshowthattheseestimatorsarealsominimumvarianceintheclassofalllinearunbiasedestimators,considertheleast-squaresestimatorb2:Theleast-squaresestimatorof2