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In this lecture the professor derives the ordinary least squares (OLS) estimator for the linear model y = Xβ + ε, β̂ = (XᵀX)⁻¹Xᵀy, and works out three of its properties: it is unbiased, its covariance is σ²(XᵀX)⁻¹, an...
Unknown · 0:00
In this lecture the professor derives the ordinary least squares (OLS) estimator for the linear model y = Xβ + ε, β̂ = (XᵀX)⁻¹Xᵀy, and works out three of its properties: it is unbiased, its covariance is σ²(XᵀX)⁻¹, an...
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