Econometrica: May 1978, Volume 46, Issue 3

The Heteroscedastic Linear Model: Exact Finite Sample Results

https://doi.org/0012-9682(197805)46:3<663:THLMEF>2.0.CO;2-M
p. 663-675

William E. Taylor

For the two sample linear heteroscedastic regression model, moments of a popular two stage Aitken estimator are derived analytically. Even for small samples and/or near homoscedastic errors, the two stage procedure is surprisingly efficient relative to both unweighted least squares and the Gauss-Markov estimator. These exact results are compared with the author's previous calculations derived from Nagar approximations.
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