Properties of the OLS estimator Flashcards
1
Q
What makes an estimator “unbiased”?
A
It’s expected value is equal to the unknown true value
2
Q
What makes an estimator “efficient”
A
It has the lowest possible variance in the class of estimators
3
Q
What are the Gauss-Markov assumptions?
A
- The error has expected value zero
- The errors are serially uncorrelated
- The errors have constant variance
- The X variable is non stochasic
4
Q
What do we need to test a hypothesis?
A
- A hypothesis to be tested
- A test statistic whose distribution is known
- A decision rule which tells us when to reject or not reject the null hypothesis
5
Q
What are the four possible outcomes when we perform a test?
A
- True negative
- False negative
- True positive
- False positive
6
Q
What is a critical value?
A
A value corresponding to a predetermined p-value