Generalized Least Squares Estimation

Jonathon D. Brown
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Jonathon D. Brown: University of Washington, Department of Psychology

Chapter Chapter 6 in Advanced Statistics for the Behavioral Sciences, 2018, pp 189-217 from Springer

Abstract: Abstract When the errors in a regression model are independent and identically distributed, the Gauss-Markov theorem establishes that the ordinary least squares (OLS) estimator is “BLUE” (Best Linear Unbiased Estimator) (see Chap. 2 ). So far, all of the examples we have encountered in this text have met these assumptions, but in this chapter you will learn how to detect violations of the Gauss-Markov assumptions and address some of the problems that they can create.

Date: 2018
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DOI: 10.1007/978-3-319-93549-2_6

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