论文标题
汉森的现代高斯 - 马尔科夫定理中掩盖了物质事实
Material Facts Obscured in Hansen's Modern Gauss-Markov Theorem
论文作者
论文摘要
我们表明，汉森（Hansen）的{\ itconeretrica}论文的抽象和结论，\ cite {hansen22}，名为“现代高斯 - 马尔科夫定理（MGMT）”，掩盖了一个实质性事实，这反过来又可能使学生感到困惑。 MGMT通过引入Cramer-Rao效率结合，将普通的最小二乘（OLS）放回高基座上。我们解释了为什么线性和无偏的联系在一起，从而使大多数非线性估计器偏置。因此，MGMT通过近乎空位扩大了世纪历史的GMT的影响力。它误导了学生，因为它误导了对有益收缩和其他工具的公正OL的关注，从而通过注射偏见来减少平均误差（MSE）。
We show that the abstract and conclusion of Hansen's {\it Econometrica} paper, \cite{Hansen22}, entitled a modern Gauss-Markov theorem (MGMT), obscures a material fact, which in turn can confuse students. The MGMT places ordinary least squares (OLS) back on a high pedestal by bringing in the Cramer-Rao efficiency bound. We explain why linearity and unbiasedness are linked, making most nonlinear estimators biased. Hence, MGMT extends the reach of the century-old GMT by a near-empty set. It misleads students because it misdirects attention back to the unbiased OLS from beneficial shrinkage and other tools, which reduce the mean squared error (MSE) by injecting bias.
