Adaptive estimation of regression models via moment restrictions

DOI10.1016/0304-4076(88)90048-6zbMath0686.62045OpenAlexW2029258652WikidataQ64116497 ScholiaQ64116497MaRDI QIDQ1262659

Publication date: 1988

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

Full work available at URL: https://doi.org/10.1016/0304-4076(88)90048-6

zbMATH Keywords

Monte Carlo study small sample performance asymptotically efficient generalized method of moments estimators adaptive estimation of regression models heteroskedastic disturbance i.i.d. disturbance linearized estimators

Mathematics Subject Classification ID

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

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