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st: FGLS vs. OLS
From
Jordan Silberman <[email protected]>
To
[email protected]
Subject
st: FGLS vs. OLS
Date
Tue, 16 Jul 2013 11:50:17 -0400
Can anyone tell me if it's correct that coefficients computed from an
OLS regression should be equal to those computed from feasible
generalized least squares (FGLS) estimation, while standard errors and
p values should differ across the 2 methods? I'm interested in
comparing a single linear model across the 2 methods, so there's no
"seemingly unrelated regression." Thanks, Jordan
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