Properties of the OLS estimator Flashcards Preview

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Flashcards in Properties of the OLS estimator Deck (6)
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1
Q

What makes an estimator “unbiased”?

A

It’s expected value is equal to the unknown true value

2
Q

What makes an estimator “efficient”

A

It has the lowest possible variance in the class of estimators

3
Q

What are the Gauss-Markov assumptions?

A
  • The error has expected value zero
  • The errors are serially uncorrelated
  • The errors have constant variance
  • The X variable is non stochasic
4
Q

What do we need to test a hypothesis?

A
  • A hypothesis to be tested
  • A test statistic whose distribution is known
  • A decision rule which tells us when to reject or not reject the null hypothesis
5
Q

What are the four possible outcomes when we perform a test?

A
  • True negative
  • False negative
  • True positive
  • False positive
6
Q

What is a critical value?

A

A value corresponding to a predetermined p-value