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AppendixofstatisticsinferenceXi’AnInstituteofPost&TelecommunicationDeptofEconomic&ManagementProf.Long1BLUEEstimator

•Gauss–MarkovTheorem:Giventheassumptionsoftheclassicallinearregressionmodel,theleast-squaresestimators,intheclassofUnbiasedlinearestimators,havemin

imumvariance,thatis,theyareBLUE.1.2MINIMUM-VARIANCEPROPERTYOFLEAST-SQUARESESTIMATORSTheleast-squaresesti

matorb2islinearaswellasunbiased(thisholdstrueofb1too).Toshowthattheseestimatorsarealsominimumvarianceintheclassofalll

inearunbiasedestimators,considertheleast-squaresestimatorb2:Theleast-squaresestimatorof2