generalized least squares estimator

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A generalization of the ordinary least squares estimator 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 feasible GLS (FGLS).

Subjects: Economics.

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