For an arbitrary random variable Y and a ?-algebra F A, generated by observing some event A,

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For an arbitrary random variable Y and a ?-algebra F_A, generated by observing some event A, the variance decomposition

holds. Show that the unconditional variance of the least-squares estimator|??? is

where X is the usual data matrix, containing a column of ones and the regressors X_t, for t = 1, . . . , T.

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A First Course in Quantitative Finance

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Authors: Thomas Mazzoni

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Question Posted: Feb 19, 2020 08:58 AM

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For an arbitrary random variable Y and a ?-algebra F A, generated by observing some event A,

Question:

Var[ Y] = Var[E[ YF4]] + E[Var[ Y[FA] %3D Var[lß}] =o¿E[(X° X)-"),

Step by Step Answer:

Starting from the equation EXX1 XY where is the OLS estimator we can calculate the unconditional ...View the full answer

A First Course in Quantitative Finance

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