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

2025/03/18 by Moriya, Koichiro, Noda, Akihiko
#Econometrics (econ.EM) #FOS: Computer and information sciences #FOS: Economics and business #Methodology (stat.ME) #Statistical Finance (q-fin.ST)

paper · doi:10.48550/arxiv.2503.13950

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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