FGLS or Whites Standard Errors?

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fnaticsk
Posts: 3
Joined: Wed Oct 19, 2011 5:09 pm

FGLS or Whites Standard Errors?

Postby fnaticsk » Wed Oct 19, 2011 8:28 pm

Hey guys, my friend keeps telling me that Feasible Generalized Least Squares is better than using Whites HSK
consistent standard errors. Can someone tell me the difference between the two or why FGLS is better? Because I was going to use Whites for my assignment but he told me to use FGLS

startz
Non-normality and collinearity are NOT problems!
Posts: 3798
Joined: Wed Sep 17, 2008 2:25 pm

Re: FGLS or Whites Standard Errors?

Postby startz » Wed Oct 19, 2011 9:01 pm

If the FGLS model is correct, then GLS is efficient while OLS is not. On the other hand, OLS with White standard errors is unbiased, which FGLS may or may not be.

EViews Glenn
EViews Developer
Posts: 2682
Joined: Wed Oct 15, 2008 9:17 am

Re: FGLS or Whites Standard Errors?

Postby EViews Glenn » Thu Oct 20, 2011 3:41 pm

There is nothing keeping you from doing FGLS and then computing using White standard errors.


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