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application to DD problems, the feasible GLS estimator based on the iterative procedure has the same asymptotic distribution as the infeasible GLS etsimator when G and T is fixed. Even when G and T are both large, so that the unadjusted AR coefficients also deliver asymptotic efficiency, the bias-adusted estimates deliver higher-order improvements in the asymptotic distribution. One limitation of Hansen’s results: they assume

  • xgt : t 1, . . . , Tare strictly exogenous. If we

just use OLS, that is, the usual fixed effects estimate – strict exogeneity is not required for consistency as T . Nothing new that GLS relies on strict exogeneity in serial correlation cases. In intervention analyis, might be concerned if the

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