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Suppose that regression model is yt = mu + epsilon t where E[ epsilon t|xt] = 0, Given a sample of observations on yt and xt what is the most efficient estimator of mu? Is this estimator unbiased? What is its variance? What is the OLS estimator of mu?, and what is its variance?. Prove that the estimator in part (a) is at least as efficient as the estimator in part (c).(bonus) (Hint: use Cauchy-Schwarz inequality)

Business Economics, Economics

  • Category:- Business Economics
  • Reference No.:- M9447811

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