This paper investigates the phenomenon of covariance matrix underestimation leading to possibly misleading inference which can arise from a potential pitfall in approximate GLS estimation of the regression model with ARMA disturbances.

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Journal Applied Economics Letters
Citation
Choudhury, A.H. (Askar H.), & Power, S. (1998). The consequences of a potential pitfall in approximate GLS estimation of the regression model with ARMA(p, q) disturbances. Applied Economics Letters, 5(7), 469–472.