Can someone tell me what is the tradeoff between using OLS and FGLS? I know the conditions under which FGLS is more efficient than OLS. But what about robustness? It is usually said that the choice between using OLS and FGLS involves a efficiency-robustness tradeoff. What is this? I am asking this in context of a system of equations.


  • $\begingroup$ Very many estimation problems can be cast under the hat of a system of equations. In some cases an FGLS alike approach can result in less efficient estimator or even inconsistent if the assumptions justifying the approach is not satisfied. $\endgroup$ – Jesper for President Oct 10 '19 at 19:28

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