Asymptotic normality of the time‐domain generalized least squares estimator for linear regression models

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 proved for a broad class of error dependence models. Under the same assumptions, asymptotic normality results for the time‐domain IGLS estimator are only available for a limited class of error structures. We prove that the time‐domain IGLS estimator is asymptotically normal for a general class of dependence models.