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Level 14
· ◆◆◆◆ · ~13 min
Standard Errors & Gauss–Markov
Standard Errors & Gauss–Markov
"How precise is an estimate? Three things set its variance — noise, spread, and collinearity — and Gauss–Markov says OLS makes that variance as small as it can be."
sampling variance of OLSVar(β̂ⱼ) = σ²/[SSTⱼ(1−Rⱼ²)]standard error and the SERvariance inflation factorGauss–Markov: OLS is BLUE
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