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Simon Jackman
Stanford University
Consider the linear regression model, y = Xb+u, where y is a n-by-1 vector of observations
on a dependent variable, X is a n-by-k matrix of independent variables of full column rank, b
is a k-by-1 vector of parameters to be estimated, and u is a n-by-1 vector of disturbances. Via
the Gauss-Markov Theorem, if
A1 E(u|X) = 0 (i.e., the disturbances have conditional mean zero), and
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