Minimum MSE Estimation of a Regression Model

Students of econometrics encounter the Gauss-Markhov Theorem (GMT) at a fairly early stage - even if they don't see a formal proof to begin with. This theorem deals with a particular property of the OLS estimator of the coefficient vector, β, in the following linear regression model:

                        y = Xβ + ε  ;  ε ~ [0 , σ² I_n] ,

where X is (n x k), non-random, and of rank k.

The GMT states that among all linear estimators of β that are also unbiased estimators, the OLS estimator of β is most efficient. That is, OLS is the BLU estimator for β.

EViews Tutorials

If you're a student who is just learning to use the EViews econometrics package, the tutorials that IHS (the supplier of EViews) has made available should be very helpful. You'll find them here.

There are 13 tutorials at this time, ranging from "EViews basics" to "Forecasting".

"The tutorials are split into self-contained sessions, although we recommend that new users of EViews work their way through the tutorials one by one.

Each tutorial is accompanied by data files so that you may follow the tutorials in your own copy of EViews. The data files are available in the Supporting Files side bar of each tutorial. Each tutorial is available in Microsoft Powerpoint® format, along with the data files, bundled together in a Zip file, in the Download Package area of of the side bar of each tutorial. 

You should note that the tutorials are written based on EViews 8, however the vast majority of material covered in them is applicable to earlier versions of EViews too."

Certainly, these tutorial won't tell you everything you'll want to know,  but they're a good start.

© 2013, David E. Giles