by practicalspactical

 W \propto\ \Omega^{-1}

\sqrt{T}\big(\hat\theta - \theta_0\big)\ \xrightarrow{d}\ \mathcal{N}\big[0, (G'WG)^{-1}G'W\Omega WG(G'WG)^{-1}\big]

\hat{W} = \bigg(\frac{1}{T}\sum_{t=1}^T g(Y_t,\hat\theta_{(1)})g(Y_t,\hat\theta_{(1)})'\bigg)^{-1},