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

DOI10.1016/J.JECONOM.2008.01.003MaRDI QIDQ292153zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

efficiencynon-normality

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

Recommendations

• Efficiency gains in least squares estimation: a new approach
• Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes
• Multiple Linear Regression Model Under Nonnormality
• Two-stage generalized moment method with applications to regressions with heteroscedasticity of unknown form
• Second-order nonlinear least squares estimation

Cites work

• scientific article; zbMATH DE number 3271181 (Why is no real title available?)
• scientific article; zbMATH DE number 3338262 (Why is no real title available?)
• Adaptive estimation of regression models via moment restrictions
• Asymptotic efficiency in estimation with conditional moment restrictions
• Improved instrumental variables and generalized method of moments estimators
• Redundancy of moment conditions
• 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

This page was built for publication: More efficient estimation under non-normality when higher moments do not depend on the regressors, using residual augmented least squares

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q292153)