Wednesday, December 28, 2011

When is the OLS estimator BLU?

Or, if you prefer, "When do the OLS and GLS estimators coincide?"

O.K., so you think you know the answer to this one? My guess is that you know a sufficient condition, but probably not a necessary and sufficient condition, for the OLS and GLS estimators of the coefficient vector in a linear regression model to coincide. Let's see if I'm right!