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

Cuicui Lu and Peter Schmidt

Economics Letters, 2012, vol. 116, issue 3, 538-540

Abstract: 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.

Keywords: Ordinary least squares; Generalized least squares; Amemiya–Cragg estimator (search for similar items in EconPapers)
JEL-codes: C20 C21 C22 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:116:y:2012:i:3:p:538-540

DOI: 10.1016/j.econlet.2012.01.015

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