On Sat, 17 Jun 2000, Cecil Chan wrote:
> If the dependent variable of the equation to be estimated using OLS
> method is a proportion (i.e. it varies between 0 and 1), while the
> explanatory variable is unbounded, will the estimated coefficients
> still maintain the Best Linear Unbiased Estimator (BLUE) properties?
Why wouldn't they? All you've postulated is that the true relationship
between the variables is not linear over the entire real line (although
it may be approximately linear, and to a pretty good approximation, over
a bounded region of the explanatory variable). If this nonlinearity is
important for your purposes, you should be modelling it explicitly, and
you would then not be interested in a BLUE (except, perhaps, a BLUE for
estimating f(Y) from X where f(Y) is a suitable nonlinear function of Y).
If the nonlinearity is not important, the actual (as distinct
from theoretical) range of the explanatory variable must be bounded, a
linear estimator is satisfactory, and among the set of linear estimators
OLS should still be BLUE, shouldn't it?
-- DFB.
------------------------------------------------------------------------
Donald F. Burrill [EMAIL PROTECTED]
348 Hyde Hall, Plymouth State College, [EMAIL PROTECTED]
MSC #29, Plymouth, NH 03264 603-535-2597
184 Nashua Road, Bedford, NH 03110 603-471-7128
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