标题: Generalized Least Squares [打印本页] 作者: bigredhockey55 时间: 2011-7-13 16:24 标题: Generalized Least Squares
While reviewing Schweser quant stuff, I read how generalized least squares can be used to correct for Autoreggressive Conditional Heteroskedacticity (yes, the ultimate word to use as a pickup line), and that it is the 'same procedure used to correct for heteroskedacticity"....
...so I flip to the multiple regression area and I cannot find anything on generealized least squares...just White standard errors...
Anybody care to explain what these generalized least squares are? Thanks. Hopefully I am not missing it somewhere obvious...
