A Note on the Asymptotic Properties of the GLS Estimator in Multivariate Regression with Heteroskedastic and Autocorrelated Errors
A Note on the Asymptotic Properties of the GLS Estimator in Multivariate Regression with Heteroskedastic and Autocorrelated Errors ArXiv ID: 2503.13950 “View on arXiv” Authors: Unknown 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. Keywords: Generalized Least Squares (GLS), Wald Statistics, Heteroskedasticity and Autocorrelation Consistency (HAC), Multivariate Regression, Linear Restrictions, Equities ...