Comments on B. Hansen's Reply to "A Comment on: `A Modern Gauss-Markov Theorem'", and Some Related Discussion

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

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Abstract: In P\"otscher and Preinerstorfer (2022) and in the abridged version P\"otscher and Preinerstorfer (2024, published in Econometrica) we have tried to clear up the confusion introduced in Hansen (2022a) and in the earlier versions Hansen (2021a,b). Unfortunatelly, Hansen's (2024) reply to P\"otscher and Preinerstorfer (2024) further adds to the confusion. While we are already somewhat tired of the matter, for the sake of the econometrics community we feel compelled to provide clarification. We also add a comment on Portnoy (2023), a "correction" to Portnoy (2022), as well as on Lei and Wooldridge (2022).

Date: 2024-06
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Working Paper: Comments on B. Hansen's Reply to "A Comment on: `A Modern Gauss-Markov Theorem'", and Some Related Discussion (2024)
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