Skip to main content
SpringerLink
Log in

Another twist on the equality of OLS and GLS

  • Notes
  • Published:
Statistical Papers Aims and scope Submit manuscript

Abstract

We give a neccessary and sufficient condition for the equality of theOLS andGLS estimator of a subset of the regression coefficients in a linear model.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Similar content being viewed by others

References

  • Fiebig, Denzil G.;McAleer, Michael andBartels, Robert (1992): Properties of ordinary least squares estimators in regression models with nonspherical disturbances.Journal of Econometrics 54, 321–334.

    Article  MATH  MathSciNet  Google Scholar 

  • Gourieroux, Christian andMontfort, Alain (1980): Sufficient linear structures: Econometric application.Econometrica 48, 1083–1097.

    Article  MATH  MathSciNet  Google Scholar 

  • Krämer, Walter (1980): A note on the equality of ordinary least squares and Gauss-Markov estimates in the general model.Sankhya A, 130–131.

  • Kruskal, William (1968): When are Gauss-Markov and least squares estimators identical? A coordinate-free approach.Annals of Mathematical Statistics 39, 70–75.

    Article  MathSciNet  Google Scholar 

  • Puntanen, Simo andStyan, George P.H. (1989): The equality of the ordinary least squares estimator and the best linear unbiased estimator (with discussion).The American Statistician 43, 153–163.

    Article  MathSciNet  Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Department of Statistics, University of Dortmund, D-44221, Dortmund, Germany

    Walter Krämer

  2. Department of Econometrics, University of Sydney, 2006, Sydney, NSW, Australia

    Robert Bartels & Denzil G. Fiebig

Authors
  1. Walter Krämer
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Robert Bartels
    View author publications

    You can also search for this author in PubMed Google Scholar

  3. Denzil G. Fiebig
    View author publications

    You can also search for this author in PubMed Google Scholar

Additional information

Research supported by Volkswagenstiftung (Krämer). We are grateful to Götz Trenkler and an anonymous referee for helpful discussions and comments.

Rights and permissions

Reprints and permissions

About this article

Cite this article

Krämer, W., Bartels, R. & Fiebig, D.G. Another twist on the equality of OLS and GLS. Statistical Papers 37, 277–281 (1996). https://doi.org/10.1007/BF02926589

Download citation

  • Received:

  • Revised:

  • Issue Date:

  • DOI: https://doi.org/10.1007/BF02926589

Keywords

Search

Navigation