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A Modern Gauss-Markov Theorem? Really?

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  • Benedikt M. Potscher
  • David Preinerstorfer

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.

Suggested Citation

  • Benedikt M. Potscher & David Preinerstorfer, 2022. "A Modern Gauss-Markov Theorem? Really?," Papers 2203.01425, arXiv.org, revised Oct 2023.
    • Handle: RePEc:arx:papers:2203.01425
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    References listed on IDEAS

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    1. Stephen Portnoy, 2022. "Linearity of Unbiased Linear Model Estimators," The American Statistician, Taylor & Francis Journals, vol. 76(4), pages 372-375, October.
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    More about this item

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General

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