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Now assume that in the model above,

E[e] = 0,
E[ee′] = s 2(平方)W ， with W 1 I, and W is known.

What is the appropriate linear estimator for b in the above model and why?

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关键词：appropriate estimator Linear Above model

E[e] = 0,
E[ee′] = s 2(平方)W  ， with W不等于 I, and W is known.

What is the appropriate linear estimator for b in the above model and why?

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if the model is heteroskedasticity, the best estimator is GLS or FGLS. otherwise, OLS.