Econometrica: May 1983, Volume 51, Issue 3
More Efficient Estimation in the Presence of Heteroscedasticity of Unknown Form
J. G. CraggRecent work on inference in regressions with heteroscedastic disturbances leads to the possibility of more efficient estimators. The conditions needed to exploit the possibility are discussed. A sampling experiment indicates that the gains can be achieved even in small samples.
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