Comments on B. Hansen's Reply to "A Comment on: `A Modern Gauss-Markov Theorem'", and Some Related Discussion

TL;DR

This paper clarifies ongoing debates in econometrics regarding the Gauss-Markov theorem and related corrections, addressing confusions caused by previous discussions and responses among researchers.

Contribution

It provides critical clarification on recent econometric discussions, correcting misunderstandings and contributing to the scholarly debate on the Gauss-Markov theorem.

Findings

Clarifies confusions in recent econometric literature

Addresses misunderstandings in Hansen's responses

Comments on related corrections by other researchers

Abstract

In P\"otscher and Preinerstorfer (2022) and in the abridged version P\"otscher and Preinerstorfer (2024, published in Econometrica) we have tried to clear up the confusion introduced in Hansen (2022a) and in the earlier versions Hansen (2021a,b). Unfortunatelly, Hansen's (2024) reply to P\"otscher and Preinerstorfer (2024) further adds to the confusion. While we are already somewhat tired of the matter, for the sake of the econometrics community we feel compelled to provide clarification. We also add a comment on Portnoy (2023), a "correction" to Portnoy (2022), as well as on Lei and Wooldridge (2022).