Efficiency gains in least squares estimation: A new approach

DOI10.1080/07474938.2020.1824731zbMath1490.62179OpenAlexW3091901942MaRDI QIDQ5862508

Mike G. Tsionas, Alecos Papadopoulos

Publication date: 9 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2020.1824731

zbMATH Keywords

efficiencyleast squaresinstrumental variablesheteroskedasticityexcess kurtosis

Mathematics Subject Classification ID

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

Uses Software

• sn

Cites Work

• A Simple Test for Heteroscedasticity and Random Coefficient Variation
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Resurrecting weighted least squares
• Akaike-type criteria and the reliability of inference: model selection versus statistical model specification
• Efficient shrinkage in parametric models
• Two-stage generalized moment method with applications to regressions with heteroscedasticity of unknown form
• More Efficient Estimation in the Presence of Heteroscedasticity of Unknown Form
• Statistical Applications of the Multivariate Skew Normal Distribution
• Linear Statistical Inference and its Applications
• A Semiparametric Basis for Combining Estimation Problems Under Quadratic Loss
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