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Approximate Normality of Generalized Least Squares Estimates

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Author Info
Rothenberg, Thomas J
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Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 52 (1984)
Issue (Month): 4 (July)
Pages: 811-25
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Handle: RePEc:ecm:emetrp:v:52:y:1984:i:4:p:811-25

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  1. Nelson C. Mark & Donggyu Sul, 2004. "The Use of Predictive Regressions at Alternative Horizons in Finance and Economics," Finance 0409032, EconWPA. [Downloadable!]
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  2. Jerry Hausman & Guido Kuersteiner, 2005. "Difference in Difference Meets Generalized Least Squares: Higher Order Properties of Hypotheses Tests," Boston University - Department of Economics - Working Papers Series WP2005-010, Boston University - Department of Economics. [Downloadable!]
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  3. Oliver Linton, 1996. "An Asymptotic Expansion in the Garch(1,1) Model," Cowles Foundation Discussion Papers 1118, Cowles Foundation, Yale University. [Downloadable!]
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  4. Oliver Linton, 1993. "Second Order Approximation in the Partially Linear Regression Model," Cowles Foundation Discussion Papers 1065, Cowles Foundation, Yale University. [Downloadable!]
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  5. Oliver Linton, 1997. "Second-Order Approximation for Semiparametric Instrumental Variable Estimators and Test Statistics," Cowles Foundation Discussion Papers 1151, Cowles Foundation, Yale University. [Downloadable!]
  6. Hidehiko Ichimura & Oliver Linton, 2003. "Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators," STICERD - Econometrics Paper Series /2003/451, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
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  7. Peter C.B. Phillips, 1990. "Operational Algebra and Regression t-Tests," Cowles Foundation Discussion Papers 948, Cowles Foundation, Yale University. [Downloadable!]
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