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Interview Question

Quantitative Analyst Interview City of London, England (UK)

derive the formula for the variance of OLS from scratch

Tags:
technical
Answer

Interview Answer

3 Answers

0

delta^2*(x'x)^(-1)

Interview Candidate on Oct 19, 2011
1

I think you meant:

sigma^2*(x'x)^-1

Anonymous on Apr 12, 2012
0

Both of these are wrong. Beta_hat = (X'X)^(-1)(X'Y)

Anonymous on Aug 18, 2013

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