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计量经济学 - Best Linear Unbiased Estimator 最佳线性无偏估计
Proof that OLS is BLUE
Best Linear Unbiased Estimator
1
? A K variable General Linear Model (GLM) is:
Y ?? X? U (1)
? 1
bols ? ( X X ) X Y (2)
We want to prove ‘bols’ is Best Linear and Unbiased estimator (BLUE) amongst all the
linear unbiased estimators. This requires comparing the variance of ‘bols’ with other
competing estimator. Let us define a class of linear estimator as:
? ? AY (3)
Where A is KxT matrix; it does not depend on Y or ? .
Note if A=(X’X)-1X’ then ? is OLS.
The idea is to find a matrix A that generates an estimator ? from within the whole
class of linear unbiased estimators. A may take any form across a whole class of
possible matrices giving rise to different parameter vectors.
BEST implies parameter with lowest variance.
2
? (i) when comparing the efficiency of two estimators of a single parameter,
compare their variances.
? (ii) when comparing the efficiency of two estimators for a vector of parameter,
compare their covariance matrices.
? Therefore define:
? OLS parameter covariance matrix: ?b
? Any other linear parameter covariance matrix: ??
21?
? Note that ??b ? (XX )
? If b ols is better than ? then that implies:
?b ? ??
? In order to work out which of the above two covariance matrices are smaller,
let us define a vector (a) which picks any linear combination of the elements in
the parameter vector ? , as:
? a’ = (a1, a2, …., ak)
3
? Then we can easily define:
a?? a ? ? a ? ? ....... ? a ?
1 1 2 2 kk
? Likewise,
a b? a b ? a b ? ....... ? a b
1 1 2 2 kk
? Defining, a
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