GLS estimators in matrix form - part 3

[@kapilag]

Nice and crisp derivation. Well done Ben!

[@prashant0104]

Thanks for the nice explanation. Will we get the same estimates for Beta(OLS) and BETA(GLS)?

[@Tame_the_WACC]

Thanks for your video Ben! But how to we get the 'capital omega' (the variance-covariance matrix) in the first place in practice. Do you first do a simple OLS and estimate 'capital omega' from that?

[@SpartacanUsuals]

Hi, thanks for your message, and kind words. Yes - you are absolutely correct. We first do OLS, then use the residuals from that regression to estimate omega. The whole process is called fGLS (feasible GLS). I think I have some videos on the topic if you search for them. Best, Ben

[@frag_out1500]

@@SpartacanUsuals Thanks a lot! Appreciate your efforts ! :)

[@PankajKumar-ot3mg]

super amazing lecture ben