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1、Appendix of statistics inference,XiAn Institute of Post & Telecommunication Dept of Economic & Management Prof. Long,1 BLUE Estimator,GaussMarkov Theorem: Given the assumptions of the classical linear regression model, the least-squares estimators, in the class of Unbiased linear estimators,have min
2、imum variance, that is, they are BLUE.,1.2 MINIMUM-VARIANCE PROPERTYOF LEAST-SQUARES ESTIMATORS,The least-squares estimator b2 is linear as well as unbiased (this holds true of b1 too). To show that these estimators are also minimum variance in the class of all linear unbiased estimators, consider the least-squares estimator b2 :,The least-squares estimator of 2,