The Falstaff estimator

Roger Koenker, José A. F. Machado

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)

Abstract

Correcting for heteroscedasticity in GMM estimation of the linear model can improve upon the Gauss-Markov estimator even when there is no heteroscedasticity to correct.

Original languageEnglish
Pages (from-to)23-28
Number of pages6
JournalEconomics Letters
Volume61
Issue number1
DOIs
Publication statusPublished - 1 Oct 1998

Keywords

  • C13
  • C20
  • GMM
  • Heteroscedasticity
  • Moment expansion
  • Robustness

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