More efficient estimation under non-normality when higher moments do not depend on the regressors, using residual augmented least squares

A-Tier
Journal: Journal of Econometrics
Year: 2008
Volume: 144
Issue: 1
Pages: 219-233

Authors (2)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Under normality, least squares is efficient. However, if the errors are not normal, we can gain efficiency from the assertion that higher moments do not depend on the regressors. 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 simple estimators that are asymptotically equivalent to the GMM estimators. These estimators can be calculated by linear regressions which have been augmented with functions of the least squares residuals.

Technical Details

RePEc Handle
repec:eee:econom:v:144:y:2008:i:1:p:219-233
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-29