[Theory] Notes on Multivariate Linear Regression and Gauss-Marko
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Wang Yanan Institute for Studies in Economics
Microeconometrics Course Report#2
Notes on Multivariate Linear Regression
and Gauss-Markov Theorem
Student
Baohao Wei
15220172202657
Supervisor
Jiaming Mao
Summary
In this report, we will study some important properties for multivariate linear
regression. First, we discuss how to derive the ordinary least squares estimator
for our regression model. Then, we will study the asymptotic distribution of our
estimator and how to do joint hypothesis testing. At last, we will show that
our OLS estimator is the Best Linear Unbiased Estimator(BLUE) of the true
parameter under some conditions and introduce Gauss-Markov theorem.
Keywords: linear regression; asymptotic distribution; joint hypothesis test-
ing; Gauss-Markov theorem
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