Generalized Least Squares (GLS vs OLS) (2022)
The usual Ordinary Least Squares (OLS) method assigns equal weight (or importance) to each observation. But generalized least squares (GLS) take such information into account explicitly and are therefore capable of producing BLUE estimators. Consider following two-variable model, \begin{align}Y_i &= \beta_1 + \beta_2 X_i + u_i\nonumber\\\text{or}\\Y_i &= \beta_1X_{0i} + \beta_2 …