GLS estimation

[jermaink]

Hi everyone,
I'm stuck with the following question:


Basically, all Gauss Markov assumptions hold, except for the Var of u, which is sigma^2 * X^2,
rather than sigma^2 * Identity Matrix.
Thanks for your help in advance

 

[Deleted member 4993]

Hi everyone,
I'm stuck with the following question:
View attachment 26227

Basically, all Gauss Markov assumptions hold, except for the Var of u, which is sigma^2 * X^2,
rather than sigma^2 * Identity Matrix.
Thanks for your help in advance

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