The variance of GLS estimators @SpartacanUsuals
The variance of GLS estimators @SpartacanUsuals
Uploaded January 2014 | Updated September 2026, 24 minutes ago
This video explains how to derive the variance of GLS estimators in matrix form.

Check out oxbridge-tutor.co.uk/graduate-econometrics-course for course materials, and information regarding updates on each of the courses. Check out ben-lambert.com/econometrics-course-problem-sets-and-data for course materials, and information regarding updates on each of the courses. Quite excitingly (for me at least), I am about to publish a whole series of new videos on Bayesian statistics on youtube. See here for information: ben-lambert.com/bayesian Accompanying this series, there will be a book: amazon.co.uk/gp/product/1473916364/ref=pe_3140701_247401851_em_1p_0_ti
The variance of GLS estimatorsExample likelihood model: waiting times between beer ordersBLUE estimators in presence of heteroscedasticity - GLS - part 2An introduction to the Beta distributionMaximum Likelihood: Bernoulli random variables estimator variance part 1How to code up a model with discrete parameters in StanSimultaneous Equation Models: Order condition for parameter identificationConditional Independence Assumption for Continuous VariablesThe Law of Iterated Expectations: an introductionAn introduction to Jeffreys priors - 2Explaining the Kullback-Liebler divergence through secret codesThe Rubin Causal model - an introduction
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The variance of GLS estimators

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