Material Facts Obscured in Hansen's Modern Gauss-Markov Theorem
Material Facts Obscured in Hansen's Modern Gauss-Markov Theorem
We show that the abstract and conclusion of Hansen's Econometrica paper, Hansen (2022) entitled a modern Gauss-Markov theorem (MGMT) obscures a material fact, which in turn can confuse students. The MGMT places ordinary least squares (OLS) back on a high pedestal by bringing in the Cramer-Rao efficiency bound. Unfortunately, MGMT …