Finite-Sample Properties of the Least Squares Estimator

Finite-Sample Properties of the Least Squares Estimator 

Suppose you have two independent unbiased estimators of the same parameter, 0, say 0iand02, with 

Consider the optimization problem of minimizing the variance of the weighted estimator. If the 

The mean squared error is the variance plus the squared bias, 

The ordinary least squares estimator is, as always, unbiased, and has variance and mean squared error 

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