[datascience] R: OLS is BUE

["Gianluca Cubadda" < >]

Dear All,

 

you’ll find in attachment a reply by Pötscher and Preinerstorfer to the paper by Hansen (forthcoming in Econometrica) that Alessandro kindly brought to our attention.

Fundamentally, the authors claim that Hansen reinvented the wheel!

 

I should add that Bruce Hansen is (was?) one of my econometric heroes, so it was tough to become aware of this paper…

 

Ciao,

 

Gianluca

 

Da: Alessandro Casini < >
Inviato: sabato 19 febbraio 2022 15:58
A:
Oggetto: OLS is BUE

 

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 (
 
 ">
 )

Department of Economics and Finance 

University of Rome Tor Vergata

Via Columbia 2

00133 Rome, Italy

http://alessandro-casini.com

Attachment: Pötscher&Preinerstorfer_WP.pdf
Description: Adobe PDF document