A Note on the Asymptotic Properties of the GLS Estimator in Multivariate Regression with Heteroskedastic and Autocorrelated Errors
2025-03-18Unverified0· sign in to hype
Koichiro Moriya, Akihiko Noda
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We study the asymptotic properties of the GLS estimator in multivariate regression with heteroskedastic and autocorrelated errors. We derive Wald statistics for linear restrictions and assess their performance. The statistics remains robust to heteroskedasticity and autocorrelation.