<P> Econometric theory uses statistical theory and mathematical statistics to evaluate and develop econometric methods . Econometricians try to find estimators that have desirable statistical properties including unbiasedness , efficiency , and consistency . An estimator is unbiased if its expected value is the true value of the parameter ; it is consistent if it converges to the true value as sample size gets larger , and it is efficient if the estimator has lower standard error than other unbiased estimators for a given sample size . Ordinary least squares ( OLS ) is often used for estimation since it provides the BLUE or `` best linear unbiased estimator '' ( where `` best '' means most efficient , unbiased estimator ) given the Gauss - Markov assumptions . When these assumptions are violated or other statistical properties are desired , other estimation techniques such as maximum likelihood estimation , generalized method of moments , or generalized least squares are used . Estimators that incorporate prior beliefs are advocated by those who favor Bayesian statistics over traditional , classical or `` frequentist '' approaches . </P>
<P> Econometric theory uses statistical theory and mathematical statistics to evaluate and develop econometric methods . Econometricians try to find estimators that have desirable statistical properties including unbiasedness , efficiency , and consistency . An estimator is unbiased if its expected value is the true value of the parameter ; it is consistent if it converges to the true value as sample size gets larger , and it is efficient if the estimator has lower standard error than other unbiased estimators for a given sample size . Ordinary least squares ( OLS ) is often used for estimation since it provides the BLUE or `` best linear unbiased estimator '' ( where `` best '' means most efficient , unbiased estimator ) given the Gauss - Markov assumptions . When these assumptions are violated or other statistical properties are desired , other estimation techniques such as maximum likelihood estimation , generalized method of moments , or generalized least squares are used . Estimators that incorporate prior beliefs are advocated by those who favor Bayesian statistics over traditional , classical or `` frequentist '' approaches . </P>
what is the meaning of blue in econometrics
what is the meaning of blue in econometrics
`` best linear unbiased estimator '' ( where `` best '' means most efficient , unbiased estimator )
`` best linear unbiased estimator '' ( where `` best '' means most efficient , unbiased estimator )