medium · Quantitative Finance prob-stats
Which of the following is true regarding the OLS estimator hatβ and the Maximum Likelihood Estimator (MLE) of the slope under the assumption of normally distributed errors?
- The MLE is more efficient than OLS in small samples.
- The OLS estimator and the MLE for the slope are identical.
- MLE requires the sample size to be larger than 30 to match OLS.
- OLS is unbiased while MLE is biased for the slope coefficient.
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