Review of Ordinary Least Squares and Generalized Least Squares

摘要: The purpose of this chapter is to review the fundamentals ordinary least squares and generalized in context linear regression analysis. presentation here somewhat condensed given our objective focusing on more advanced topics econometrics. results presented, though brief form, are important foundation for much come. In next section we present assumptions classical model. following Gauss-Markov theorem proved optimality estimator established. Section 2.4 introduce large sample concepts convergence probability consistency. It shown that quadratic mean a sufficient condition consistency consistent. 2.5 model defined established by Aitken’s theorem. examine properties when appropriate Finally, 2.7 summarize discussion briefly outline additional readings available.