1、Appendix of statistics inference,XiAn Institute of Post & TelecommunicationDept of Economic & ManagementProf. Long,1 BLUE Estimator,GaussMarkov Theorem:Given the assumptions of the classical linear regressionmodel, the least-squaresestimators, in the class ofUnbiased linear estimators,haveminimum va
2、riance, that is, they are BLUE.,1.2 MINIMUM-VARIANCE PROPERTYOF LEAST-SQUARES ESTIMATORS,The least-squares estimator b2 is linear as well as unbiased (this holds true of b1 too). To show that these estimators are also minimum variance in the class of all linear unbiased estimators, consider the least-squares estimator b2 :,The least-squares estimator of 2,
