Generalized Least Squares
In: The SAGE Encyclopedia of Social Science Research Methods
Generalized Least Squares
DOI: http://dx.doi.org/10.4135/9781412950589.n370
Subject: Research Methods
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Consider the LINEAR REGRESSION model y = Xβ + u, where y is a n-by-1 vector of observations on a dependent variable, X is a n-by-k matrix of independent variables of full column rank, β is a k-by-1 vector of parameters to be estimated, and u is a n-by-1 ...
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