Topic 6: Gauss Markov Theorem Flashcards
1
Q
What is the Gauss Markov Theorum?
A
States that of all the linear, unbias estimators, the OLS estimator is the one with the lowest variance.
2
Q
How does the Gauss Markov proof deal with other estimators.
A
Deals only with linear estimators. Considers them as the OLS estimator plus some other component.
3
Q
What is the expectation of the estimator:
If it is unbias, what does that imply?
A
This implies that CX = 0
4
Q
What is the correlation between the OLS estimator and some other linear estimator (Given CX is equal to zero).
A
5
Q
What is the variance of some other linear estimator, compared with the OLS estimator, given no correlation between the two.
A
As Cy is a covariance matrix it is necessarily positive semidefinate.
