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A Modern Gauss-Markov Theorem? Really?

Author

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  • Pötscher, Benedikt M.
  • Preinerstorfer, David

Abstract

We show that the theorems in Hansen (2021b) (Econometrica, forthcoming) are not new as they coincide with classical theorems like the good old Gauss-Markov or Aitken Theorem, respectively.

Suggested Citation

  • Pötscher, Benedikt M. & Preinerstorfer, David, 2022. "A Modern Gauss-Markov Theorem? Really?," MPRA Paper 112185, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:112185
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    File URL: https://mpra.ub.uni-muenchen.de/112185/1/MPRA_paper_112185.pdf
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    References listed on IDEAS

    as
    1. Stephen Portnoy, 2022. "Linearity of Unbiased Linear Model Estimators," The American Statistician, Taylor & Francis Journals, vol. 76(4), pages 372-375, October.
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    Cited by:

    1. Bollerslev, Tim & Li, Jia & Li, Qiyuan, 2024. "Optimal nonparametric range-based volatility estimation," Journal of Econometrics, Elsevier, vol. 238(1).
    2. Pötscher, Benedikt M., 2024. "Comments on B. Hansen's Reply to "A Comment on: `A Modern Gauss-Markov Theorem'", and Some Related Discussion," MPRA Paper 121144, University Library of Munich, Germany.

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    More about this item

    Keywords

    Gauss-Markov Theorem; Aitken Theorem; unbiased estimation;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General

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