A Modern Gauss–Markov Theorem

DOI10.3982/ECTA19255MaRDI QIDQ6044992zbMATH OpenOpenAlexWikidataFDO

Authors Bruce E. Hansen

Publication date 26 May 2023

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3982/ecta19255

zbMATH Keywords

efficient estimationleast squaresunbiasednessBLUElinear estimatorsGauss-Markov

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(3)

• Linearity of Unbiased Linear Model Estimators
• Gaussian version of a theorem of Milman and Schechtman
• Optimal nonparametric range-based volatility estimation

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