First, an approach to an upper bound for the risk matrix of GLSE's is established when the information on the parameter space of the structural parameter in the covariance matrix of the error can be utilized. Second, this result is applied to regression with (i) serial correlation and (ii) heteroscedastic covariance structure. In the heteroscedastic regression, the problem of estimating the common mean of two normal populations is studied in detail.
"An Approach to Upper Bound Problems for Risks of Generalized Least Squares Estimators." Ann. Statist. 14 (2) 679 - 690, June, 1986. https://doi.org/10.1214/aos/1176349946