More Efficient Estimation under Non-Normality when Higher Moments do not Depend on the Regressors, using Residual-Augmented Lease Squares.

In this paper we show how the assumption that higher moments do not depend on the regressors can be exploited in a GMM framework, and we provide very simple estimators that are equivalent to GMM estimators. These simple estimators can be calculated by linear regressions which have been augmented with functions of the least squares residuals.

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Year of publication:	1999
Authors:	Im. K.S. ; Schmidt, P.
Institutions:	Economics Department, Michigan State University
Subject:	ECONOMETRICS \| ESTIMATOR \| REGRESSION ANALYSIS

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Series:	Michigan State - Econometrics and Economic Theory.
Type of publication:	Book / Working Paper
Notes:	29 pages
Classification:	C13 - Estimation ; C00 - Mathematical and Quantitative Methods. General ; C20 - Econometric Methods: Single Equation Models. General ; C30 - Econometric Methods: Multiple/Simultaneous Equation Models. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005256218