October 2024
Beginner
228 pages
6h 47m
English
Content preview from Regression Basics, 3rd Edition
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8Some Common Problems in Regression Analysis
In Chapter 3, we discussed a series of assumptions, called the classical linear regression model (CLRM) assumptions. Later, in Chapter 5, we added the assumption of “no perfect multicollinearity” to that list. It was noted that if the CLRM assumptions are met, then there is a famous theorem, called the Gauss-Markov theorem, that shows that OLS is the best, linear, unbiased estimator (i.e., OLS is “BLUE”). This is a very powerful result as it provides a strong justification for the use of OLS over other linear, unbiased estimators we could consider.
It is often the case, however, that one or more of the CLRM assumptions are not satisfied. If this happens, then OLS is ...
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