计量经济学（北京大学，陈东）03_OLS_properties.pdfVIP

Topic 3: Properties of the OLS Estimator Advanced Econometrics (I) Dong Chen School of Economics, Peking University 1 Finite-Sample Properties of b 1.1 Moments of the Distribution of b (i) Expectation −1 b = (X X) X y −1 = (X X) X (Xβ + ε) −1 = β + (X X) X ε. (1.1) Hence,