ECONOMETRIC MODELING

FGLS
When to use FGLS ?
when a time series , panel data or crosss ectional data
has no unit root , autocorrelation , multicollinearity ,
endogeneity , simultaneity or rever causality ( any other
assumption that makes OLS ) inefficient , inconsistent
and invalid . Thus , if OLS bears Heteroscedasticity , we
can use FGLS to correct the Heteroscedasticity related
issues in estimator and improve the model . Feasible
Generalied Least Square also controls AR1 or PSAR1
issues in the model .

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