A Note on the Asymptotic Properties of the GLS Estimator in Multivariate Regression with Heteroskedastic and Autocorrelated Errors

Koichiro Moriya and Akihiko Noda

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Abstract: 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.

Date: 2025-03
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