Material Facts Obscured in Hansen's Modern Gauss-Markov Theorem

We show that the abstract and conclusion of Hansen's Econometrica paper, Hansen (2022) entitled a modern Gauss-Markov theorem (MGMT) obscures a material fact, which in turn can confuse students. The MGMT places ordinary least squares (OLS) back on a high pedestal by bringing in the Cramer-Rao efficiency bound. Unfortunately, MGMT extends the reach of the century old GMT by a near-empty set of nonlinear unbiased estimators. It misleads students because it misdirects attention back to the unbiased OLS from useful shrinkage and other tools which reduce the mean squared error (MSE) by injecting bias