Reference Entry

generalized least squares (GLS) estimator

John Black, Nigar Hashimzade and Gareth Myles

in A Dictionary of Economics

Third edition

Published in print January 2009 | ISBN: 9780199237043
Published online January 2009 | e-ISBN: 9780191726637
generalized least squares (GLS) 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

Reference Entry.  69 words. 

Subjects: Economics

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