Efficiency is a criterion by which to compare unbiased estimators. For scalar parameters, one estimator is said to be more efficient than another if the first has smaller variance. For multivariate estimators, one estimator is said to be more efficient than another if the covariance matrix of the second minus the covariance matrix of the first is a positive semidefinite matrix. Sometimes properties of the most efficient estimator can be computed; see efficiency bound.
Computation of efficiency is defined on the basis of assumed distributions of errors ('disturbance terms'). It is not calculated directly on the basis of sample information unless the sample information come from a simulation where the actual error distribution was known. (Econterms)
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