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Math Help - use kronecker product to prove GLS reduces to OLS

  1. #1
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    use kronecker product to prove GLS reduces to OLS

    Hi guys:

    I am sure if you understand the topic then you have seen this question somewhere in econometrics exam.

    How to prove that using kronecker product rule that GLS reduces to OLS?

    Exam coming, thanks in advance!!!
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  2. #2
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    Re: use kronecker product to prove GLS reduces to OLS

    Hey noblewhale.

    I take it OLS means Ordinary Least Squares but what does GLS refer to?
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  3. #3
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    Re: use kronecker product to prove GLS reduces to OLS

    http://emlab.berkeley.edu/~mcfadden/e240b_f01/ch5.pdf

    GLS is general least square. the question is on bottom of page 3/beginning of page 4
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  4. #4
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    Re: use kronecker product to prove GLS reduces to OLS

    and chiro thanks, you are always the one that replies!
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