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Research Article

A GMM estimator asymptotically more efficient than OLS and WLS in the presence of heteroskedasticity of unknown form

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References

  • Abadie, A. 2003. “Semiparametric Instrumental Variable Estimation of Treatment Response Models.” Journal of Econometrics 113: 231–263. doi:10.1016/S0304-4076(02)00201-4.
  • Cragg, J. G. 1983. “More Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form.” Econometrica 51: 751–763.
  • Robinson, P. M. 1987. “Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form.” Econometrica 55 (4): 875–891. doi:10.2307/1911033.
  • Wooldridge, J. M. 2010. Econometric Analysis of Cross Section and Panel Data. Second ed. Cambridge: MIT press.
  • Wooldridge, J. M. 2016. Introductory Econometrics: a Modern Approach. Sixth ed. Boston: Cengage Learning.

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