More efficient estimation under non-normality when higher moments do not depend on the regressors, using residual augmented least squares
DOI10.1016/J.JECONOM.2008.01.003zbMATH Open1418.62476OpenAlexW1964182009MaRDI QIDQ292153FDOQ292153
Authors: Kyung So Im, Peter Schmidt 
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
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Cites Work
- Title not available (Why is that?)
- Redundancy of moment conditions
- Asymptotic efficiency in estimation with conditional moment restrictions
- Title not available (Why is that?)
- Adaptive estimation of regression models via moment restrictions
- Improved instrumental variables and generalized method of moments estimators
- Some Properties of Beta and Gamma Distributions
Cited In (8)
- Improved autoregressive forecasts in the presence of non-normal errors
- Residual-augmented IVX predictive regression
- THE ET INTERVIEW: PROFESSOR PETER SCHMIDT
- More powerful cointegration tests with non-normal errors
- RALS-LM unit root test with trend breaks and non-normal errors: application to the Prebisch-Singer hypothesis
- Transformed regression-based long-horizon predictability tests
- Testing for stationarity with covariates: more powerful tests with non-normal errors
- Efficiency gains in least squares estimation: a new approach
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