Reference Entry

generalized least squares (GLS) estimator

Edited by John Black, Nigar Hashimzade and Gareth Myles

in A Dictionary of Economics

Fourth edition

Published in print January 2012 | ISBN: 9780199696321
Published online May 2013 | e-ISBN: 9780191759130
generalized least squares (GLS) estimator

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A generalization of the *ordinary least squares estimator that is applicable when the exact form of the error covariance matrix, i.e. heteroscedasticity and/or serial correlation in the error term, is known. A version of GLS that uses the estimate of the error covariance matrix (of restricted structure appropriate for the model under consideration) in place of the unknown true covariance matrix is called ...

Reference Entry.  74 words. 

Subjects: Economics

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