A Three Line Proof that OLS is BLUE

2 Pages Posted: 4 May 2012

See all articles by Halbert L. White, Jr.

Halbert L. White, Jr.

University of California, San Diego (UCSD) - Department of Economics

Jin Seo Cho

Yonsei University - Department of Economics

Date Written: April 11, 2012

Abstract

We provide a three line proof that the Ordinary Least Squares estimator is the (conditionally) best linear unbiased estimator.

Keywords: efficiency, Gauss-Markov, OLS estimator

JEL Classification: C01, C13

Suggested Citation

White, Halbert L. and Cho, Jin Seo, A Three Line Proof that OLS is BLUE (April 11, 2012). Available at SSRN: https://ssrn.com/abstract=2050611 or http://dx.doi.org/10.2139/ssrn.2050611

Halbert L. White

University of California, San Diego (UCSD) - Department of Economics ( email )

9500 Gilman Drive
La Jolla, CA 92093-0508
United States
858-534-3502 (Phone)
858-534-7040 (Fax)

HOME PAGE: http://www.econ.ucsd.edu/~mbacci/white/

Jin Seo Cho (Contact Author)

Yonsei University - Department of Economics ( email )

50 Yonsei-Ro
Seoul, 120-749
Korea
+822-2123-5448 (Phone)
+822-2123-8638 (Fax)

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