The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Jul, 1980, Volume 48, Issue 5
https://doi.org/0012-9682(198007)48:5<1083:SLSEA>2.0.CO;2-Z
p. 1083-1098
Alain Monfort, Christian Gourieroux
This paper is concerned with linear models. In this context it gives a necessary and sufficient condition for equality of two generalized least squares estimators of any subset of the parameters. The result is applied to many kinds of problems: the Frisch-Waugh problem, equality of OLS and GLS estimators, equality of the single equation GLS and the overall GLS estimators in seemingly unrelated regressions, equality of partial and overall 3SLS, lineartransformation of a linear model, superfluous observations, and mixed estimation.
