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Approximate Normality of Generalized Least Squares Estimates

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  • Rothenberg, Thomas J

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  • Rothenberg, Thomas J, 1984. "Approximate Normality of Generalized Least Squares Estimates," Econometrica, Econometric Society, vol. 52(4), pages 811-825, July.
    • Handle: RePEc:ecm:emetrp:v:52:y:1984:i:4:p:811-25
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    Cited by:

    1. Hausman, Jerry & Kuersteiner, Guido, 2008. "Difference in difference meets generalized least squares: Higher order properties of hypotheses tests," Journal of Econometrics, Elsevier, vol. 144(2), pages 371-391, June.
    2. Koenker, Roger & Machado, Jose A. F., 1998. "The Falstaff estimator," Economics Letters, Elsevier, vol. 61(1), pages 23-28, October.
    3. Linton, Oliver, 1997. "An Asymptotic Expansion in the GARCH(l, 1) Model," Econometric Theory, Cambridge University Press, vol. 13(4), pages 558-581, February.
    4. Banerjee, Anurag N. & Magnus, Jan R., 2000. "On the sensitivity of the usual t- and F-tests to covariance misspecification," Journal of Econometrics, Elsevier, vol. 95(1), pages 157-176, March.
    5. Linton, Oliver, 1995. "Second Order Approximation in the Partially Linear Regression Model," Econometrica, Econometric Society, vol. 63(5), pages 1079-1112, September.
    6. Wan, Alan T. K. & Chaturvedi, Anoop, 2001. "Double k-Class Estimators in Regression Models with Non-spherical Disturbances," Journal of Multivariate Analysis, Elsevier, vol. 79(2), pages 226-250, November.
    7. Yong Bao & Aman Ullah, 2021. "Analytical Finite Sample Econometrics: From A. L. Nagar to Now," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 17-37, December.
    8. Peter C.B. Phillips, 1990. "Operational Algebra and Regression t-Tests," Cowles Foundation Discussion Papers 948, Cowles Foundation for Research in Economics, Yale University.
    9. Nelson C. Mark & Donggyu Sul, 2004. "The Use of Predictive Regressions at Alternative Horizons in Finance and Economics," Finance 0409032, University Library of Munich, Germany.
    10. Karavias, Yiannis & Symeonides, Spyridon D. & Tzavalis, Elias, 2018. "Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model," Statistics & Probability Letters, Elsevier, vol. 135(C), pages 54-59.
    11. Gupta, Abhimanyu, 2023. "Efficient closed-form estimation of large spatial autoregressions," Journal of Econometrics, Elsevier, vol. 232(1), pages 148-167.
    12. Luc Anselin, 1988. "Model Validation in Spatial Econometrics: A Review and Evaluation of Alternative Approaches," International Regional Science Review, , vol. 11(3), pages 279-316, December.
    13. Rayner, Robert K., 1991. "Resampling methods for tests in regression models with autocorrelated errors," Economics Letters, Elsevier, vol. 36(3), pages 281-284, July.
    14. Richard C.K. Burdekin, 1992. "Assessing the Impact of US Macroeconomic Policies and Inflation Rates on the Australian Economy," The Economic Record, The Economic Society of Australia, vol. 68(1), pages 16-30, March.
    15. Xiao, Zhijie & Phillips, Peter C. B., 2002. "Higher order approximations for Wald statistics in time series regressions with integrated processes," Journal of Econometrics, Elsevier, vol. 108(1), pages 157-198, May.
    16. John J. Beggs, 1988. "Diagnostic Testing in Applied Econometrics," The Economic Record, The Economic Society of Australia, vol. 64(2), pages 81-101, June.
    17. Kezdi, Gabor & Hahn, Jinyong & Solon, Gary, 2002. "Jackknife minimum distance estimation," Economics Letters, Elsevier, vol. 76(1), pages 35-45, June.
    18. Hansen, Christian B., 2007. "Generalized least squares inference in panel and multilevel models with serial correlation and fixed effects," Journal of Econometrics, Elsevier, vol. 140(2), pages 670-694, October.
    19. Xiao, Zhijie & Phillips, Peter C. B., 1998. "Higher-order approximations for frequency domain time series regression," Journal of Econometrics, Elsevier, vol. 86(2), pages 297-336, June.
    20. Beggs, John J, 1988. "Diagnostic Testing in Applied Econometrics," The Economic Record, The Economic Society of Australia, vol. 64(185), pages 81-101, June.
    21. Oliver Linton, 1997. "Second Order Approximation in a Linear Regression with Heteroskedasticity for Unknown Form," Cowles Foundation Discussion Papers 1151, Cowles Foundation for Research in Economics, Yale University.
    22. Tamaki, Kenichiro, 2007. "Second order optimality for estimators in time series regression models," Journal of Multivariate Analysis, Elsevier, vol. 98(3), pages 638-659, March.

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