A Comment on: “A Modern Gauss–Markov Theorem”

Benedikt M. Pötscher; David Preinerstorfer

doi:10.3982/ECTA20819

A Comment on: “A Modern Gauss–Markov Theorem”

Benedikt M. Pötscher^*
, David Preinerstorfer

^*Corresponding author for this work

Publication: Scientific journal › Journal article › peer-review

Abstract

We show that Theorem 4 in Hansen (2022) applies to exactly the same class of estimators as does the classical Aitken theorem. We furthermore point out that Theorems 5–7 in Hansen (2022) contain extra assumptions not present in the classical Gauss–Markov or Aitken theorem, and thus the former theorems do not contain the latter ones as special cases.

Original language	English
Pages (from-to)	913-924
Number of pages	12
Journal	Econometrica
Volume	92
Issue number	3
DOIs	https://doi.org/10.3982/ECTA20819
Publication status	Published - May 2024
Externally published	Yes

Bibliographical note

Publisher Copyright:
© 2024 The Authors. Econometrica published by John Wiley & Sons Ltd on behalf of The Econometric Society.

Access to Document

10.3982/ECTA20819

Cite this

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