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

Benedikt Pötscher

MPRA Paper from University Library of Munich, Germany

Abstract: In Pötscher and Preinerstorfer (2022) and in the abridged version Pötscher 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 Pötscher 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).

Keywords: Gauss-Markov Theorem; Aitken Theorem (search for similar items in EconPapers)
JEL-codes: C13 C20 (search for similar items in EconPapers)
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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