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
