Another twist on the equality of OLS and GLS

DOI10.1007/BF02926589zbMath0858.62053OpenAlexW1994667178MaRDI QIDQ1815630

Robert Bartels, Denzil G. Fiebig, Walter Kramer

Publication date: 23 March 1997

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02926589

zbMATH Keywords

linear modelgeneralized least squaresordinary least squaresnecessary and sufficient conditionequality of the OLS and GLSsubset of regression coefficients

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

Related Items (4)

Let us do the twist again ⋮ A final twist on the equality of OLS and GLS ⋮ The equality of OLS and GLS estimators in the linear regression model when the disturbances are spatially correlated ⋮ Mean driven balance and uniformly best linear unbiased estimators

Cites Work

• Unnamed Item
• Properties of ordinary least squares estimators in regression models with nonspherical disturbances
• Sufficient Linear Structures: Econometric Applications
• When are Gauss-Markov and Least Squares Estimators Identical? A Coordinate-Free Approach

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