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Journal Article

Generalized Least Squares with an Estimated Variance Covariance Matrix

G. S. Maddala
Econometrica
Vol. 39, No. 1 (Jan., 1971), pp. 23-33
Published by: The Econometric Society
DOI: 10.2307/1909137
Stable URL: http://www.jstor.org/stable/1909137
Page Count: 11
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Generalized Least Squares with an Estimated Variance Covariance Matrix
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Abstract

The paper discusses why certain commonly used two-step procedures give estimators which are asymptotically less efficient than the maximum likelihood estimator when there are lagged dependent variables among the regressors. This sort of problem is often encountered in the estimation of distributed lag models with serial correlation in the residuals.

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