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st: RE: FGLS vs. OLS
From
Bob Reed <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: RE: FGLS vs. OLS
Date
Tue, 16 Jul 2013 16:03:28 +0000
Hi Jordan,
OLS and GLS estimators will produce different estimates. The formulae are different, as you can check by referring to most econometrics textbooks.
W. Robert Reed
Professor
Department of Economics and Finance
University of Canterbury
Private Bag 4800
Christchurch
New Zealand
Phone: +64-3-3642846
Fax: +64-3-3642635
Email: [email protected]
Homepage: http://www.econ.canterbury.ac.nz/personal_pages/bob_reed/
Replications Co-Editor, Public Finance Review
http://www.sagepub.com/journalsProdEditBoards.nav?prodId=Journal200768
Editor, ISRN Economics
http://www.isrn.com/journals/economics/editors/
________________________________________
From: [email protected] [[email protected]] on behalf of Jordan Silberman [[email protected]]
Sent: Wednesday, 17 July 2013 3:50 a.m.
To: [email protected]
Subject: st: FGLS vs. OLS
Can anyone tell me if it's correct that coefficients computed from an
OLS regression should be equal to those computed from feasible
generalized least squares (FGLS) estimation, while standard errors and
p values should differ across the 2 methods? I'm interested in
comparing a single linear model across the 2 methods, so there's no
"seemingly unrelated regression." Thanks, Jordan
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