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AppendixofstatisticsinferenceXi’AnInstituteofPost&TelecommunicationDeptofEconomic&ManagementProf.Long1BLUEEstimator•Gauss–

MarkovTheorem:Giventheassumptionsoftheclassicallinearregressionmodel,theleast-squaresestimators,intheclassofUnbiasedlineare

stimators,haveminimumvariance,thatis,theyareBLUE.1.2MINIMUM-VARIANCEPROPERTYOFLEAST-SQUARESESTIMATORSTheleast-squaresestimatorb

2islinearaswellasunbiased(thisholdstrueofb1too).Toshowthattheseestimatorsarealsominimumvarianceintheclassofalllinearun

biasedestimators,considertheleast-squaresestimatorb2:Theleast-squaresestimatorof2