GLS involves
A)writing the model in differences and estimating it by OLS, using HAC standard errors.
B)truncating the sample at both ends of the period, then estimating by OLS using HAC standard errors.
C)checking the AIC rather than the BIC in choosing the maximum lag-length of the regressors.
D)transforming the regression model so that the errors are homoskedastic and serially uncorrelated, and then estimating the transformed regression model by OLS.

Question

Quizplus · Accepted Answer

GLS (Generalized Least Squares) involves transforming the regression model so that the errors are homoskedastic and serially uncorrelated, and then estimating the transformed regression model by OLS. Option A is the description of Dickey-Fuller test, while option B is a description of trimming. Option C is specific to selecting the maximum lag-length of the regressors using information criteria.

GLS Involves