Econometrica: May 1983, Volume 51, Issue 3

More Efficient Estimation in the Presence of Heteroscedasticity of Unknown Form

https://doi.org/0012-9682(198305)51:3<751:MEEITP>2.0.CO;2-W
p. 751-764

J. G. Cragg

Recent 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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