You need to adjust $S _ { \hat { u } } ^ { 2 }$ by the degrees of freedom to ensure that $s _ { \hat { u } } ^ { 2 }$ is
A) an unbiased estimator of $\sigma _ { u } ^ { 2 }$
B) a consistent estimator of $\sigma _ { u } ^ { 2 }$
C) efficient in small samples.
D) F -distributed.

Question

You need to adjust $S _ { \hat { u } } ^ { 2 }$ by the degrees of freedom to ensure that $s _ { \hat { u } } ^ { 2 }$  is
A) an unbiased estimator of $\sigma _ { u } ^ { 2 }$
B) a consistent estimator of $\sigma _ { u } ^ { 2 }$
C) efficient in small samples.
D)  F -distributed.

Quizplus · Accepted Answer

To make $s _ { \hat { u } } ^ { 2 }$ an unbiased estimator of $\sigma _ { u } ^ { 2 }$, you need to divide the sum of squared residuals by the degrees of freedom (n-k) instead of n, where n is the sample size and k is the number of parameters estimated.

You Need to Adjust Su^2S _ { \hat { u } } ^ { 2 }Su^2​

You Need to Adjust $S _ { \hat { u } } ^ { 2 }$