I am reading Greene, Econometric Analysis, 7th Addition,
I am seeking a point of clarrification.
"The case of identical regressors is quite common [think a VAR mode].... In this special case, generalized least squares is equivalent to equation by equation ordinary least sqaures".
Can somebody explain why?
Is this because the covaraince matrix is the same when I estimate the first equation of a VAR versus the second equation? Or any other reasons?