<p>For a question like this, would I use WLS or Feasible GLS? I am leaning towards WLS but my lecture slides tell me GLS is used when there is more than one variable that drives the residual variance.</p>
<p><a href="https://i.sstatic.net/fKKa3.png" rel="nofollow noreferrer"><img src="https://i.sstatic.net/fKKa3.png" alt="WLS/FGLS?" /></a></p>

CC BY-SA 4.0
2022-05-30T20:31:23.427Z
Hi @theshadowers. Potentially WLS when the variance of the error is known? (i.e multiplicative)
EB3112
CC BY-SA 4.0
2022-05-31T05:57:47.790Z
WLS = GLS in that case (with $w_i$ observed). The method mentioned in your lecture slides should be Feasible GLS, not GLS, I guess. FGLS = (WLS using estimated weights); GLS = (WLS using observed weights). It's a matter of the definitions of WLS, GLS, and FGLS.
chan1142
<econometrics><statistics><variance><heteroskedasticity>
WLS or Feasible GLS?
theshadowers
# WLS or Feasible GLS?

(Asked by: username_0 on 2022-05-30)

For a question like this, would I use WLS or Feasible GLS? I am leaning towards WLS but my lecture slides tell me GLS is used when there is more than one variable that drives the residual variance.

[![WLS/FGLS?](https://i.sstatic.net/fKKa3.png)](https://i.sstatic.net/fKKa3.png)

**Tags:** econometrics, statistics, variance, heteroskedasticity

> **Comments:**
> **username_1**: Hi @username_0. Potentially WLS when the variance of the error is known? (i.e multiplicative)  
> **username_2**: WLS = GLS in that case (with $w_i$ observed). The method mentioned in your lecture slides should be Feasible GLS, not GLS, I guess. FGLS = (WLS using estimated weights); GLS = (WLS using observed weights). It's a matter of the definitions of WLS, GLS, and FGLS.  

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## 0 answers

