The GLS estimator is defined as
A)( Ω-1
X)-1 ( Ω-1
Y).
B)(
X)-1 Y.
C) Y.
D)(
X)-1 U.

Question

The GLS estimator is defined as
A)( Ω-1
X)-1 ( Ω-1
Y). 
B)( 
X)-1 Y. 
C) Y. 
D)( 
X)-1 U.

Quizplus · Accepted Answer

The GLS estimator is a linear unbiased estimator that minimizes the variance of the errors, assuming that the data is generated from a linear model with heteroscedastic errors. The GLS estimator is given by the formula (11eab146_bd4b_f45e_896a_dbf32829da60_TB2833_11 Ω-1X)-1 (11eab146_bd4b_f45f_896a_43295191b08a_TB2833_11 Ω-1Y), where Ω is the covariance matrix of the errors. Therefore, the best choice is A. None of the other choices match the definition of the GLS estimator.

The GLS Estimator Is Defined as