applies, so the GLS estimate is the best linear unbiased estimator for '.

Weighted least squares

A special case of GLS, called weighted least squares (WLS), occurs when all the off-diagonal entries of ? are 0. This situation arises when the variances of the observed values are unequal or when heteroscedasticity is present, but no correlations exist among the observed variances. The weight for unit i is proportional to the reciprocal

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