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.Log In To View Full Content