Comments on B. Hansen's Reply to "A Comment on: `A Modern Gauss-Markov Theorem'", and Some Related Discussion

Pötscher, Benedikt M. (2024): Comments on B. Hansen's Reply to "A Comment on: `A Modern Gauss-Markov Theorem'", and Some Related Discussion.

Abstract

In Pötscher and Preinerstorfer (2022) and in the abridged version Pötscher and Preinerstorfer (2024, published in Econometrica) we have tried to clear up the confusion introduced in Hansen (2022a) and in the earlier versions Hansen (2021a,b). Unfortunatelly, Hansen's (2024) reply to Pötscher and Preinerstorfer (2024) further adds to the confusion. While we are already somewhat tired of the matter, for the sake of the econometrics community we feel compelled to provide clarification. We also add a comment on Portnoy (2023), a "correction" to Portnoy (2022), as well as on Lei and Wooldridge (2022).

• Item Type: MPRA Paper
• Language: English
• Keywords: Gauss-Markov Theorem, Aitken Theorem
• 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

References

Hansen, Bruce E. (2021a): "A Modern Gauss-Markov Theorem." September 2021. Version accepted for publication in Econometrica.

Hansen, Bruce E. (2021b): "A Modern Gauss-Markov Theorem." December 2021. Update of September 2021 version accepted for publication in Econometrica.

Hansen, Bruce E. (2022a): "A Modern Gauss-Markov Theorem." Econometrica 90, 1283-1294.

Hansen, Bruce E. (2022b): Probability and Statistics for Economists, Princeton University Press.

Hansen, Bruce E. (2024): "Reply to: "A Comment on: "A Modern Gauss-Markov Theorem""" Econometrica 92, 925-928.

Lei, L. and J. Wooldridge (2022): "What Estimators are Unbiased for Linear Models?", arXiv:2212.14185.

Koopmann, R. (1982): Parameterschätzung bei a priori Information. Vandenhoeck&Ruprecht, Göttingen.

Portnoy, S. (2022): "Linearity of Unbiased Linear Models Estimators." The American Statistician 76, 372-375.

Portnoy, S. (2023): "Correction to 'Linearity of Unbiased Linear Models Estimators.'" The American Statistician 77, 237.

Pötscher, B.M. & D. Preinerstorfer (2022): "A Modern Gauss-Markov Theorem? Really?" arXiv:2203.01425v5.

Pötscher, B.M. & D. Preinerstorfer (2024): "A Comment on: "A Modern Gauss-Markov Theorem"" Econometrica, 92, 913-924.