To the practicing statisticians out there: Is BLUE at all relevant in the field? Even if you can formulate your data/problem as a linear regression, wouldn’t maximum likelihood estimation still be the preferred method in most scenarios?
Edit: Of course Bayesian analysis is of equal relevance here!
OLS is well used in a lot of domains. If you have a continuous outcome you have a straightforward and very easy way to get a quick reliable estimate of some interesting parameter. The typical use in most social sciences is to implement some sort of difference-in-differences (or DiD event-study) estimate within a simple linear regression.
To the practicing statisticians out there: Is BLUE at all relevant in the field? Even if you can formulate your data/problem as a linear regression, wouldn’t maximum likelihood estimation still be the preferred method in most scenarios? Edit: Of course Bayesian analysis is of equal relevance here!
OLS is well used in a lot of domains. If you have a continuous outcome you have a straightforward and very easy way to get a quick reliable estimate of some interesting parameter. The typical use in most social sciences is to implement some sort of difference-in-differences (or DiD event-study) estimate within a simple linear regression.