Consistency of FGLS requires: A)u_t to be uncorrelated with x_t-₁, x_t, and x_t+₁. B)u_t to be uncorrelated with x_t and x_t+₁. C)u_t to be correlated with x_t and x_t+₁. D)u_t to be correlated with x_t-₁, x_t, and x_t+₁.

Question

Quizplus · Accepted Answer

For Feasible Generalized Least Squares (FGLS) to be consistent, the errors must be uncorrelated with the regressors. This ensures that the FGLS estimators are unbiased and consistent.

Consistency of FGLS Requires