Which one of the following statements is true for a linear regression model with non-spherical disturbances (i.e. E(uu') = Ω): The GLS estimator is inefficient. The OLS estimator is inefficient. The OLS estimator covariance matrix is diagonal. The GLS estimator covariance matrix is block-diagonal. All of the above. None of the above.

Answer : Option (f) ✔️ None of the above

Answered: Which one of the following statements…

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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Which one of the following statements is true for a linear regression model with non-spherical disturbances (i.e. E(uu') = Ω):

		The GLS estimator is inefficient.
		The OLS estimator is inefficient.
		The OLS estimator covariance matrix is diagonal.
		The GLS estimator covariance matrix is block-diagonal.
		All of the above.
		None of the above.

Definition Definition Measure of how two random variables change together. Covariance indicates the joint variability or the directional relationship between two variables. When two variables change in the same direction (i.e., if they either increase or decrease together), they have a positive covariance. When the change is in opposite directions (i.e., if one increases and the other decreases), the two variables have a a negative covariance.

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