Abstract:In linear models, the generalized least squares (GLS) estimator is applicable when the structure of the error dependence is known. When it is unknown, such structure must be approximated and estimated in a manner that may lead to misspecification. The large‐sample analysis of incorrectly specified GLS (IGLS) estimators requires careful asymptotic manipulations. When performing estimation in the frequency domain, the asymptotic normality of the IGLS estimator, under the so‐called Grenander assumptions, has been… Show more
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