GLS
A)results in smaller variances of the estimator than OLS if the regressors are strictly exogenous.
B)is the same as OLS using HAC standard errors.
C)can be used even if the regressors are not strictly exogenous.
D)can be used for time-series estimation, but not in cross-sectional data.

Question

Quizplus · Accepted Answer

GLS (Generalized Least Squares) results in smaller variances of the estimator than OLS if the regressors are strictly exogenous.