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arXiv · 2503.13950

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

Koichiro Moriya·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.

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Koichiro Moriya, Akihiko Noda. 2025-03-18. A Note on the Asymptotic Properties of the GLS Estimator in Multivariate Regression with Heteroskedastic and Autocorrelated Errors. https://arxiv.org/abs/2503.13950

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