only a consistent one is required to achieve full efficiency for the FGLS estimator.β ̃is the OLS of the transformed equation, but it is a generalized least square (GLS) estimator of the original regression model which take the OLS as a subcases when Σ = I.Let Σˆ be a consistent estimator of Σ. Then the feasible generalized least squares estimator (FGLS) of β is