One way to show that the ordinary least squares estimate is the best linear unbiased estimator (BLUE) is to verify that the condition of Zyskind (1967) applies. The Zyskind condition states that for a model y X3 + ε with E(e) = 0 and cov(e) = V, the ordinary least squares estimate (X'X)−¹X'y is BLUE if and only if there exists a matrix Q such that VX = XQ. -
One way to show that the ordinary least squares estimate is the best linear unbiased estimator (BLUE) is to verify that the condition of Zyskind (1967) applies. The Zyskind condition states that for a model y X3 + ε with E(e) = 0 and cov(e) = V, the ordinary least squares estimate (X'X)−¹X'y is BLUE if and only if there exists a matrix Q such that VX = XQ. -
Algebra & Trigonometry with Analytic Geometry
13th Edition
ISBN:9781133382119
Author:Swokowski
Publisher:Swokowski
Chapter9: Systems Of Equations And Inequalities
Section9.7: The Inverse Of A Matrix
Problem 30E
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