A Note on the Asymptotic Properties of the GLS Estimator in Multivariate Regression with Heteroskedastic and Autocorrelated Errors
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arXiv
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| Format: | Preprint |
| Published: |
2025
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| _version_ | 1866912280297340928 |
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| author | Moriya, Koichiro Noda, Akihiko |
| author_facet | Moriya, Koichiro Noda, Akihiko |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2503_13950 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | A Note on the Asymptotic Properties of the GLS Estimator in Multivariate Regression with Heteroskedastic and Autocorrelated Errors Moriya, Koichiro Noda, Akihiko Econometrics Statistical Finance Methodology 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. |
| title | A Note on the Asymptotic Properties of the GLS Estimator in Multivariate Regression with Heteroskedastic and Autocorrelated Errors |
| topic | Econometrics Statistical Finance Methodology |
| url | https://arxiv.org/abs/2503.13950 |