More efficient estimation under non-normality when higher moments do not depend on the regressors, using residual augmented least squares

DOI10.1016/j.jeconom.2008.01.003zbMath1418.62476MaRDI QIDQ292153

F. Blanchet-Sadri, M. Dambrine

Publication date: 10 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.01.003

zbMATH Keywords

efficiency; non-normality

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62P20: Applications of statistics to economics

62J05: Linear regression; mixed models

62F10: Point estimation