The sensitivity of OLS when the variance matrix is (partially) unknown. (1999)
Journal Article
Banerjee, A., & Magnus, J. (1999). The sensitivity of OLS when the variance matrix is (partially) unknown. Journal of Econometrics, 92(2), 295-323. https://doi.org/10.1016/s0304-4076%2898%2900093-1

We consider the standard linear regression model y=Xβ+u with all standard assumptions, except that the variance matrix is assumed to be σ2Ω(θ), where Ω depends on m unknown parameters Full-size image (