In a model based on a weakly dependent time series with serial correlation and strictly exogenous explanatory variables, _____.
A)the feasible generalized least square estimates are unbiased
B)the feasible generalized least square estimates are BLUE
C)the feasible generalized least square estimates are asymptotically more efficient than OLS estimates
D)the feasible generalized least square estimates are asymptotically less efficient than OLS estimates

Question

Quizplus · Accepted Answer

Feasible Generalized Least Squares (FGLS) estimates are designed to be more efficient than Ordinary Least Squares (OLS) estimates in the presence of serial correlation and heteroscedasticity by adjusting for these issues. Therefore, they are asymptotically more efficient than OLS estimates when the model assumptions are met, including the presence of weakly dependent time series and strictly exogenous explanatory variables.

In a Model Based on a Weakly Dependent Time Series