# Does a generalized least squares regression converge to an OLS regression as the matrix of conditional error variances converges to the identity matrix?

##### 1 Answer

Nov 26, 2017

Yes.

#### Explanation:

Generalized least-squares (GLS) regression extends ordinary least-squares (OLS) estimation of the normal linear model by providing for possibly unequal error variances and for correlations between different errors.

https://socialsciences.mcmaster.ca/jfox/Books/Companion/appendix/Appendix-Timeseries-Regression.pdf