Least Square Approach to Non-Normal Disturbances.

This paper takes a computationnaly simple LS approach to develop a more efficient estimation procedure, which we call Residual Augmented Least Square (RALS), than OLS when the errors are not normally distributed. The efficiency gain is from manipulating the higher moment conditions implied by the standard i.i.d. assumption. Asymptotic results as well as Monte Carlo Showing small sample performance of RALS comparing with OLS are presented.

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Year of publication:	1996
Authors:	Im, K.S.
Institutions:	Faculty of Economics, University of Cambridge
Subject:	EVALUATION \| UNIT ROOTS

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Series:	Cambridge Working Papers in Economics.
Type of publication:	Book / Working Paper
Notes:	20 pages
Classification:	C12 - Hypothesis Testing ; C13 - Estimation ; C20 - Econometric Methods: Single Equation Models. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005489348