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Mean and Variance of OLS Estimators in Matrix Form Linear Regression
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This video follows from the previous one covering the assumptions of the Linear Regression Model in the Matrix Formulation to derive and show the properties of the OLS estimators, E[B] and Var[B].
In this video I derive and show that under the assumptions of the Linear Regression Model, the OLS Estimators are unbiased (E[B] = B) and that the Variance of B (Var(B) = sigma squared*(X'X)^-1).
#Econometrics
#Regression
#OLS
0:00 Introduction
0:16 Derive and show that E[β^] = β
3:05 Derive Var[β^]
In this video I derive and show that under the assumptions of the Linear Regression Model, the OLS Estimators are unbiased (E[B] = B) and that the Variance of B (Var(B) = sigma squared*(X'X)^-1).
#Econometrics
#Regression
#OLS
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