tag:blogger.com,1999:blog-2198942534740642384.post5867501434159144718..comments2023-10-24T03:16:41.009-07:00Comments on Econometrics Beat: Dave Giles' Blog: A Regression "Estimator" that Minimizes MSEDave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comBlogger5125tag:blogger.com,1999:blog-2198942534740642384.post-69032422773578571332013-10-08T09:24:54.871-07:002013-10-08T09:24:54.871-07:00Yes - usually, though the term "non-operation...Yes - usually, though the term "non-operational" is also used. Another way to phrase the point of my post - there's no linear estimator of beta that minimizes MSE.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-33712133829089702522013-10-08T04:39:24.303-07:002013-10-08T04:39:24.303-07:00Dave; dumb question: isn't an "estimator&...Dave; dumb question: isn't an "estimator", by definition, something that can be calculated from the sample data *only*?<br /><br />If not, then here's my proposed estimator: beta itself! It has a MSE of precisely zero!Nick Rowehttps://www.blogger.com/profile/04982579343160429422noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-89679319438102232872013-10-07T12:09:05.828-07:002013-10-07T12:09:05.828-07:00.... and sigma-squared..... and sigma-squared.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-79707423281572295072013-10-07T12:06:17.360-07:002013-10-07T12:06:17.360-07:00But that could work if I have prior information ab...But that could work if I have prior information about Beta, right? Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-21473404592817078702013-10-07T09:57:10.247-07:002013-10-07T09:57:10.247-07:00thank's, great explanationthank's, great explanationAnonymousnoreply@blogger.com