Any econometrics whizzes here?

[Urban Ranger]

Read the bloody textbook

[Jules]

I may have to keep doing that.

[TCO]

Jules, try writing out some of it in algebra. Or at least explicity putting down some of the words into algebra. Worse than is an inequality.

Also, can you think through the problem in scalers? I.e. ignore for a minute that beta is a vector and X a matrix. What would it be if this were just a normal, garden variety regression in Excel.

Also, I don't understand how you can have variance of an estimate. I mean does beta correspond to the coefficent in a regression? And X to a variable?

[Sten Sture]

Where is DrSpike to tell us that everyone should learn this in undergrad Econ 101?

My solution is to buy the bond with the most convexity, but that may not be helpful...

Good luck

[Saras]

ECONOMETRICS!!!!! AAAAAAAAAAAARRRRGHHHHHH!!!!!! My eyes! My eyes!

In fact, in Vilnius Uni, I passed it only from the third try, mainly due to fooling around with my current wife

[Az]

*jaw drops*

[Imran Siddiqui]

AHHHHH!

Like Sava, I've been blinded!

I thought I left that behind a few years ago!

You bastard, Jules! YOU BASTARD!

[Saras]

My name is Saras, Mr.Siddiqui.

[Imran Siddiqui]

Saras, Sava no difference - one can't drive and the other can't form logical thoughts (I'll let you decide which is which)

[Saras]

*Runs Imran over with his super duper beamer*

[Kropotkin]

Damn it, one semester of statistics and this still is Greek to me.

[Imran Siddiqui]

Originally posted by Saras
*Runs Imran over with his super duper beamer*

Oh Good! My first case where I get to extract loads of money from the other party .

[Saras]

*Zips away at 250 km/h to a non-extradiction country*

[Urban Ranger]

Originally posted by Kropotkin
Damn it, one semester of statistics and this still is Greek to me.

Because it's in Greek, more or less

[Adam Smith]

This is a job for ....

The guts of this problem is showing that adding additional unbiased information to an estimator can't make you any worse off (ie no greater variance).

Write out the variance for the GLS estimator.
Write out the variance for the OLS estimators in partitioned form so the GLS and OLS variance matircies have the same dimensions.
Show that the difference between the OLS variance matrix and the GLS variance matrix is non-negative definite.
Remember that the OLS estimators are best linear unbiased estimators (BLUE), which tell you they have minimum variance for their part of the partioned matrix.