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

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

https://www.quora.com/Regression-statistics-What-is-the-difference-between-Ordinary-least-square-and-generalized-least-squares

http://homepage.ntu.edu.tw/~ckuan/pdf/et01/et_Ch4.pdf