Conditions for the numerical equality of the OLS, GLS and Amemiya–Cragg estimators

This paper extends previous results on the equality of OLS and GLS. We give conditions under which GLS based on two different variance matrices gives the same estimate, and also conditions under which GLS equals a GMM estimator.

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Year of publication:	2012
Authors:	Lu, Cuicui ; Schmidt, Peter
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 116.2012, 3, p. 538-540
Publisher:	Elsevier
Subject:	Ordinary least squares \| Generalized least squares \| Amemiya–Cragg estimator

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Type of publication:	Article
Classification:	C20 - Econometric Methods: Single Equation Models. General ; C21 - Cross-Sectional Models; Spatial Models ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010594217