Thread: 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!!!

Hey noblewhale.

I take it OLS means Ordinary Least Squares but what does GLS refer to?

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

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