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Comments on B. Hansen's Reply to "A Comment on: `A Modern Gauss-Markov Theorem'", and Some Related Discussion

Author

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  • Pötscher, Benedikt M.

Abstract

In Pötscher and Preinerstorfer (2022) and in the abridged version Pötscher and Preinerstorfer (2024, published in Econometrica) we have tried to clear up the confusion introduced in Hansen (2022a) and in the earlier versions Hansen (2021a,b). Unfortunatelly, Hansen's (2024) reply to Pötscher and Preinerstorfer (2024) further adds to the confusion. While we are already somewhat tired of the matter, for the sake of the econometrics community we feel compelled to provide clarification. We also add a comment on Portnoy (2023), a "correction" to Portnoy (2022), as well as on Lei and Wooldridge (2022).

Suggested Citation

  • 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.
    • Handle: RePEc:pra:mprapa:121144
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    File URL: https://mpra.ub.uni-muenchen.de/121144/1/MPRA_paper_121144.pdf
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    References listed on IDEAS

    as
    1. Pötscher, Benedikt M. & Preinerstorfer, David, 2022. "A Modern Gauss-Markov Theorem? Really?," MPRA Paper 112185, University Library of Munich, Germany.
    2. Bruce E. Hansen, 2022. "A Modern Gauss–Markov Theorem," Econometrica, Econometric Society, vol. 90(3), pages 1283-1294, May.
    3. Lihua Lei & Jeffrey Wooldridge, 2022. "What Estimators Are Unbiased For Linear Models?," Papers 2212.14185, arXiv.org.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Gauss-Markov Theorem; Aitken Theorem;

    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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