OLS Estimator is Best | Properties of OLS Estimators | OLS Estimator has minimum Variance
Автор: Masters E-Classes
Загружено: 2025-09-16
Просмотров: 50
Описание:
In this lecture, I explain one of the most important properties of OLS estimators as stated in the Gauss–Markov Theorem that the OLS estimator β̂ is the "Best Estimator". The theorem shows that β̂ has the minimum variance among all unbiased linear estimators.
The lecture first derives the variance of the OLS estimator β̂ and then compares it with the variance of an alternative estimator (β*). Through this comparison, it is proved mathematically that the variance of β̂ is always less than that of β*, confirming why OLS is considered the best.
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