Chapter 5 Linear Regression
Estimator Desirable Properties
- based on the law of large numbers, we can derive consistency
- More observations means more precise, closer to the true value.
- Minimum variance in comparison to another estimator.
- OLS is BlUE (best linear unbiased estimator) means that OLS is the most efficient among the class of linear unbiased estimator Gauss-Markov Theorem
- If we have correct distributional assumptions, then the Maximum Likelihood is asymptotically efficient among consistent estimators.