A Modern Gauss-Markov Theorem? Really?

Pötscher, Benedikt M. and Preinerstorfer, David (2022): A Modern Gauss-Markov Theorem? Really?

Abstract

We show that the theorems in Hansen (2021a) (the version accepted by Econometrica), except for one, are not new as they coincide with classical theorems like the good old Gauss-Markov or Aitken Theorem, respectively; the exceptional theorem is incorrect. Hansen (2021b)corrects this theorem. As a result, all theorems in the latter version coincide with the above mentioned classical theorems. Furthermore, we also show that the theorems in Hansen (2022) (the version published in Econometrica) either coincide with the classical theorems just mentioned, or contain extra assumptions that are alien to the Gauss-Markov or Aitken Theorem.

• Item Type: MPRA Paper
• Language: English
• Keywords: Gauss-Markov Theorem, Aitken Theorem, unbiased estimation
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C20 - General

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