[datascience] OLS is BUE

[Alessandro Casini < >]

Hi,

this is not on big data but I think still useful when teaching econometrics. A recent paper "A Modern Gauss-Markov Theorem" by Bruce Hansen forthcoming in Econometrica that shows that OLS is not just BLUE (best linear unbiased estimator) but also BUE (best unbiased estimator). So basically OLS is the best thing you can do even when allowing for nonlinear estimators.

The proof is not as easy as for BLUE. So I am not sure how relevant is going to be for teaching undergraduate classes. Yet, it is worth knowing it.

The paper is here:

https://www.econometricsociety.org/system/files/19255-3.pdf

Best,

Alessandro

-- 
Alessandro Casini (
 
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Department of Economics and Finance 
University of Rome Tor Vergata
Via Columbia 2
00133 Rome, Italy
http://alessandro-casini.com