In Econometrics what is an estimator Is the OLS Ordinary Lea

In Econometrics, what is an estimator? Is the OLS (Ordinary Least Squares) estimator superior to all other estimators? Why or why not?

Solution

An estimator can be defined as a statistic that estimates some fact about the population parameter. For example, sample mean is an estimator for the population parameter i.e population mean.

The OLS estimators are superior to most of the estimators. This is because of the properties they have. The OLS estimator is considered to be BLUE i.e. Best Linear Unbiased and Efficient. It is linear which means that it is a linear function of a random variable. It is unbiased which means the expected value of the estimator is equal to its true value i.e. the population parameter. It is efficient which means these estimators have the minimum variances amongst the class of all such linear unbiased estimators.