计量经济学 - Best Linear Unbiased Estimator 最佳线性无偏估计.pdfVIP

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