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.Log In To View Full Content