Matches in SemOpenAlex for { <https://semopenalex.org/work/W4366341097> ?p ?o ?g. }
Showing items 1 to 49 of
49
with 100 items per page.
- W4366341097 abstract "It is well known that in the presence of heteroscedasticity ordinary least squares estimator is not efficient. I propose a generalized automatic least squares estimator (GALS) that makes partial correction of heteroscedasticity based on a (potentially) misspecified model without a pretest. Such an estimator is guaranteed to be at least as efficient as either OLS or WLS but can provide some asymptotic efficiency gains over OLS if the misspecified model is approximately correct. If the heteroscedasticity model is correct, the proposed estimator achieves full asymptotic efficiency. The idea is to frame moment conditions corresponding to OLS and WLS squares based on miss-specified heteroscedasticity as a joint generalized method of moments estimation problem. The resulting optimal GMM estimator is equivalent to a feasible GLS with estimated weight matrix. I also propose an optimal GMM variance-covariance estimator for GALS to account for any remaining heteroscedasticity in the residuals." @default.
- W4366341097 created "2023-04-20" @default.
- W4366341097 creator A5017411046 @default.
- W4366341097 date "2023-04-14" @default.
- W4366341097 modified "2023-09-26" @default.
- W4366341097 title "Generalized Automatic Least Squares: Efficiency Gains from Misspecified Heteroscedasticity Models" @default.
- W4366341097 doi "https://doi.org/10.48550/arxiv.2304.07331" @default.
- W4366341097 hasPublicationYear "2023" @default.
- W4366341097 type Work @default.
- W4366341097 citedByCount "0" @default.
- W4366341097 crossrefType "posted-content" @default.
- W4366341097 hasAuthorship W4366341097A5017411046 @default.
- W4366341097 hasBestOaLocation W43663410971 @default.
- W4366341097 hasConcept C101104100 @default.
- W4366341097 hasConcept C105795698 @default.
- W4366341097 hasConcept C149782125 @default.
- W4366341097 hasConcept C162748667 @default.
- W4366341097 hasConcept C165646398 @default.
- W4366341097 hasConcept C185429906 @default.
- W4366341097 hasConcept C188649462 @default.
- W4366341097 hasConcept C28826006 @default.
- W4366341097 hasConcept C33923547 @default.
- W4366341097 hasConcept C99656134 @default.
- W4366341097 hasConceptScore W4366341097C101104100 @default.
- W4366341097 hasConceptScore W4366341097C105795698 @default.
- W4366341097 hasConceptScore W4366341097C149782125 @default.
- W4366341097 hasConceptScore W4366341097C162748667 @default.
- W4366341097 hasConceptScore W4366341097C165646398 @default.
- W4366341097 hasConceptScore W4366341097C185429906 @default.
- W4366341097 hasConceptScore W4366341097C188649462 @default.
- W4366341097 hasConceptScore W4366341097C28826006 @default.
- W4366341097 hasConceptScore W4366341097C33923547 @default.
- W4366341097 hasConceptScore W4366341097C99656134 @default.
- W4366341097 hasLocation W43663410971 @default.
- W4366341097 hasOpenAccess W4366341097 @default.
- W4366341097 hasPrimaryLocation W43663410971 @default.
- W4366341097 hasRelatedWork W1554314089 @default.
- W4366341097 hasRelatedWork W1570739429 @default.
- W4366341097 hasRelatedWork W2064109147 @default.
- W4366341097 hasRelatedWork W2155455221 @default.
- W4366341097 hasRelatedWork W2249692956 @default.
- W4366341097 hasRelatedWork W2541140735 @default.
- W4366341097 hasRelatedWork W3123200913 @default.
- W4366341097 hasRelatedWork W3124911747 @default.
- W4366341097 hasRelatedWork W3125102244 @default.
- W4366341097 hasRelatedWork W643184171 @default.
- W4366341097 isParatext "false" @default.
- W4366341097 isRetracted "false" @default.
- W4366341097 workType "article" @default.