Semiparametric sieve-type generalized least squares inference

Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

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Sieve Empirical Likelihood and Extensions of the Generalized Least Squares
(Consistently) testing strict exogeneity against the alternative of predeterminedness in linear time-series models
Choices between OLS with robust inference and feasible GLS in time series regressions

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