Desirable Estimator Properties: Efficient Coefficient Estimate

Question 1

Definition:

Answer 1

Not applicable for flashcards

Question 2

Interpretation:

Answer 2

The sample standard error of the sample parameter estimate is the lowest attainable sample standard error (within the class of linear unbiased estimators).

Question 3

Implications of absence……for hypothesis testing:

Answer 3

Hypotheses rejected in the presence of inefficiency will be rejected in the presence of efficiency. Nothing is known about hypotheses not rejected in the presence of inefficiency.

Question 4

Implications of absence….for forecasting

Answer 4

Possible, though the confidence interval for the forecast will be larger than if the parameter estimate(s) were efficient

Question 5

Implications of absence…for sensitivity analysis

Answer 5

Possible, though the confidence interval for the sensitivity will be larger than if the parameter estimate(s) were efficient.