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

  • Lu, Cuicui
  • Schmidt, Peter
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    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.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0165176512000316
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    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 116 (2012)
    Issue (Month): 3 ()
    Pages: 538-540

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    Handle: RePEc:eee:ecolet:v:116:y:2012:i:3:p:538-540
    Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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    1. Amemiya, Takeshi, 1983. "Partially generalized least squares and two-stage least squares estimators," Journal of Econometrics, Elsevier, vol. 23(2), pages 275-283, October.
    2. Gourieroux, Christian & Monfort, Alain, 1980. "Sufficient Linear Structures: Econometric Applications," Econometrica, Econometric Society, vol. 48(5), pages 1083-97, July.
    3. Cragg, John G, 1983. "More Efficient Estimation in the Presence of Heteroscedasticity of Unknown Form," Econometrica, Econometric Society, vol. 51(3), pages 751-63, May.
    4. McAleer, Michael, 1992. "Efficient Estimation: The Rao-Zyskind Condition, Kruskal's Theorem and Ordinary Least Squares," The Economic Record, The Economic Society of Australia, vol. 68(200), pages 65-72, March.
    5. Baltagi, Badi H., 1989. "Applications of a necessary and sufficient condition for OLS to be BLUE," Statistics & Probability Letters, Elsevier, vol. 8(5), pages 457-461, October.
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