GLS is consistent and BLUE if
A)X is predetermined.
B)the error process is AR(1).
C)X is strictly exogenous.
D)all the roots are inside the unit circle.

Question

Quizplus · Accepted Answer

GLS (Generalized Least Squares) method assumes that the errors are homoscedastic and uncorrelated, but it still allows for some level of dependence between observations. To ensure that GLS is consistent and BLUE (Best Linear Unbiased Estimator), the regressors X must be strictly exogenous, meaning that they are uncorrelated with the error term. Therefore, option C is the correct choice. Option A is incorrect because predetermined regressors do not ensure strict exogeneity. Option B is incorrect because the error process being AR(1) does not ensure strict exogeneity. Option D is incorrect because it refers to the stationary condition of the error process, which is not related to the exogeneity of the regressors.

GLS Is Consistent and BLUE If