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Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedaticity

by Donald W. K. Andrews and Patrik Guggenberger
Year of publication:
2008
Other Persons: Andrews, Donald W. K. (contributor) ; Guggenberger, Patrik (contributor)
Publisher: New Haven, Conn. : Cowles Foundation for Research in Economics, Yale Univ.
freely available
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