Hw key - (2) State a version of the Gauss-Markov Theorem...

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Economics 4261 Introduction to Econometrics Fall 2010 FINAL EXAM QUESTION EXAMPLE Gauss-Markov Theorem. Mechanical Question: (1) State the conditions necessary for the OLS estimator to be a BLUE estimator. (2) Define what a BLUE estimator means. (3) Prove under these conditions that the OLS estimator is BLUE. Methodological Question: You are investigating the effect of age on charitable contributions, but have reason to believe var p ± i q σ 2 i . (1) Suppose you naively proceed by pretending var p ± i q σ 2 . How will your regression results be affected? Discuss why the Gauss-Markov Theorem fails.
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Unformatted text preview: (2) State a version of the Gauss-Markov Theorem which incorporates the error structure var p i q 2 i . What estimator allows for such an error structure? (3) Why in practice can we never actually obtain this estimator? (4) Discuss an alternative estimator which we can estimate in practice. Why is this estimator not BLUE? (5) Why might you pursue an estimator which is not BLUE? Discuss both the positives and negatives of using such an estimator. kwilliams@umn.edu http://www.econ.umn.edu/ ~ will3324 Page 1 of 1...
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