
Generalized Least Squares Regression
In OLS regression, assumptions such as independent and identically distributed errors are important for accurate estimation and inference. Heteroskedasticity, or unequal variances of residuals, can lead to biased estimates and incorrect standard errors. Alternatives to OLS, such as GLS and WLS regression, can be considered when OLS assumptions are violated. GLS is used for dependent errors, while WLS is used for independent but non-identically distributed errors.