More Efficient Estimation in the Presence of Heteroscedasticity of Unknown Form

DOI10.2307/1912156zbMath0513.62069OpenAlexW2061536776MaRDI QIDQ3658955

John G. Cragg

Publication date: 1983

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1912156

zbMATH Keywords

small samplessampling experimentsheteroscedasticity of unknown form

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05)

Related Items (27)

Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form ⋮ The indirect continuous-GMM estimation ⋮ Exact finite-sample relative efficiency of suboptimally weighted least squares estimators in models with ordered heteroscedasticity ⋮ Tests of additional conditional moment restrictions ⋮ ON THE STABILITY OF A HETEROSCEDASTIC PROCESS ⋮ Two-stage generalized moment method with applications to regressions with heteroscedasticity of unknown form ⋮ A specification test for models estimated by the Cragg estimator ⋮ Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances ⋮ Numerical distribution functions for seasonal unit root tests with OLS and GLS detrending ⋮ Estimating the model with fixed and random effects by a robust method ⋮ Efficient estimation with grouped data ⋮ Smooth minimum distance estimation and testing with conditional estimating equations: uniform in bandwidth theory ⋮ Resurrecting weighted least squares ⋮ Conditions for the numerical equality of the OLS, GLS and Amemiya-Cragg estimators ⋮ Bias-corrected heterosced asticity robust covariance matrix (sandwich) estimators ⋮ Contracting in space: An application of spatial statistics to discrete-choice models ⋮ Statistical inference for autoregressive models under heteroscedasticity of unknown form ⋮ How Reliable are Bootstrap-based Heteroskedasticity Robust Tests? ⋮ More Efficient Tests Robust to Heteroskedasticity of Unknown Form ⋮ GMM inference when the number of moment conditions in large ⋮ Unnamed Item ⋮ Proportional Hazards Model With Covariate Measurement Error and Instrumental Variables ⋮ Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments ⋮ The Falstaff estimator ⋮ Asymptotic efficiency in estimation with conditional moment restrictions ⋮ Efficiency gains in least squares estimation: A new approach ⋮ Jackknifing type weighted least squares estimators in partially linear regression models.

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