Finite Sample Moments of a Preliminary Test Estimator in the Case of Possible Heteroscedasticity

DOI10.2307/1911937zbMath0451.62079OpenAlexW1983108599MaRDI QIDQ3897898

Edward Greenberg

Publication date: 1980

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1911937

zbMATH Keywords

heteroscedasticityordinary least squares estimatorpreliminary test estimatorfinite sample momentstwo-step Aitken estimator

Mathematics Subject Classification ID

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

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