作者candypinky (飛~)
看板Statistics
標題[問題] OLS 與 GLS
時間Thu May 14 12:15:08 2009
我有個問題一直困擾很久，就是OLS跟GLS的差別在哪裡呢？我是知道當用OLS估計的結果
如果不具效率的話要改用GLS啦，但除此之外，有沒有分線性模型只能用OLS估計，非線
性模型要用GLS這樣的分別呢？
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1F：推 PinkQQ: simply put, one could apply GLS while the problem of 07/07 13:55
2F：→ PinkQQ: heteoskedastic errors occur, so that we want to find 07/07 13:55
3F：→ PinkQQ: a nonsingular and squared matrix to transform the data 07/07 13:56
4F：→ PinkQQ: However, GLS is often unable to applied because we do 07/07 13:56
5F：→ PinkQQ: not know what Var(y) is (so does the transformed M). 07/07 13:57
6F：→ PinkQQ: Hence, we use FGLS instead. But another problem is 07/07 13:57
7F：→ PinkQQ: that FGLS often doesn't have the nice properties in 07/07 13:58
8F：→ PinkQQ: finite sample and could be a less efficient estimator 07/07 13:58
9F：→ PinkQQ: than OLS. 07/07 13:58