The article considers the efficiency of ordinary least squares (OLS) coefficient estimates relative to generalized least squares (GLS) in a linear regression model where the disturbances follow a ...

P. N. Misra, Distribution of OLS Estimators of Coefficients and Disturbance Term in a General Regression Model, Sankhyā: The Indian Journal of Statistics, Series B (1960-2002), Vol. 34, No. 4 (Dec., ...