Wednesday, February 8, 2012

More on the Equivalence of GLS & Other Estimators

In a very recent article, titled "Conditions for the Equality of the OLS, GLS and Amemiya-Cragg Estimators" (currently "in press" at Economics Letters), Cuicui Lu and Peter Schmidt present various conditions under which various regression estimators will be numerically equivalent.

Their results are a nice generalization of the Rao-Kruskal-Zyskind conditions that I discussed in an earlier post, "When is the OLS Estimator BLU?"

Here's the abstract of the Lu-Schmidt paper:

"This paper extends results on the equality of OLS and GLS. We give conditions under which GLS based on two different variance matrices gives the same estimate, and also conditions under which GLS equals a GMM estimator."

The paper is definitely worth reading, and a "pre-print" version can be downloaded from Cuicui Lu's website, here.


© 2012, David E. Giles

2 comments:

  1. Thanks for pointing out the paper. Unfortunately, many University libraries in Germany cannot afford access to Elsevier's pricy journals...
    Are you aware of a preprint version?
    Best
    Harry

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  2. Harry - after a bit of checking, I see it can be downloaded from Cuicui Lu's website. Got to
    https://www.msu.edu/~lucuicui/Lu_3.pdf

    ReplyDelete