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GLS and OLS

Forums: Econometrics
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foxglove
 
Reply Mon 15 Mar, 2021 11:19 pm
Does GLS transformation can introduce colinearity even if the OLS regression is not colinear?

When estimating a regression by OLS then GLS, I observed an increase in Rsquared
from .695 to .95. Is This evidence of serious improvement in model fit?.
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