A Modern Gauss-Markov Theorem? Really?

Benedikt M. P\"otscher and David Preinerstorfer
Authors registered in the RePEc Author Service: Benedikt M. Pötscher

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Abstract: We show that the theorems in Hansen (2021a) (the version accepted by Econometrica), except for one, are not new as they coincide with classical theorems like the good old Gauss-Markov or Aitken Theorem, respectively; the exceptional theorem is incorrect. Hansen (2021b) corrects this theorem. As a result, all theorems in the latter version coincide with the above mentioned classical theorems. Furthermore, we also show that the theorems in Hansen (2022) (the version published in Econometrica) either coincide with the classical theorems just mentioned, or contain extra assumptions that are alien to the Gauss-Markov or Aitken Theorem.

Date: 2022-03, Revised 2023-10
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Published in abridged version in Econometrica 92 (2024), 913-924

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http://arxiv.org/pdf/2203.01425 Latest version (application/pdf)

Related works:
Working Paper: A Modern Gauss-Markov Theorem? Really? (2022)
Working Paper: A Modern Gauss-Markov Theorem? Really? (2022)
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