Definition of Kruskal's Theorem: Let X be a set of regressors, y be a vector of dependent variables, and the model be: y=Xb+e where E[ee'] is the matrix OMEGA. The theorem is that if the column space of (OMEGA)X is the same as the column space of X; that is, that there is heteroskedasticity but not cross-correlation, then the GLS estimator of b is the same as the OLS estimator of b. (Econterms)
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