Abstract: Robustness of generalized least square estimator in terms of error distributions in general linear model was discussed. We explored the maximal class of distributions of error term, in which the GLSE possesses robustness, that is, the GLSE is the best linear estimator under the criterion of minimizing the generalized MSE matrix with the error distribution varying within the maximal class.

Key words: linear model, generalized MSE, robust, generalized least square estimator, best linear unbiased estimator