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.

翻译：本文研究了多元回归模型中存在异方差与自相关误差时广义最小二乘估计量的渐近性质。我们推导了线性约束的Wald统计量并评估其性能。该统计量对异方差与自相关保持稳健性。