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Least Square Approach to Non-Normal Disturbances

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Author Info
Im, K.S.
Abstract

This paper takes a computationnaly simple LS approach to develop a more efficient estimation procedure, which we call Residual Augmented Least Square (RALS), than OLS when the errors are not normally distributed. The efficiency gain is from manipulating the higher moment conditions implied by the standard i.i.d. assumption. Asymptotic results as well as Monte Carlo Showing small sample performance of RALS comparing with OLS are presented.

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Publisher Info
Paper provided by Faculty of Economics, University of Cambridge in its series Cambridge Working Papers in Economics with number 9603.

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Length: 20 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:cam:camdae:9603

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Web page: http://www.econ.cam.ac.uk/index.htm

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Related research
Keywords: EVALUATION; UNIT ROOTS;

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General

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  1. L. Sarno & M. P. Taylor, 2003. "An empirical investigation of asset price bubbles in Latin American emerging financial markets," Applied Financial Economics, Taylor and Francis Journals, vol. 13(9), pages 635-643, September. [Downloadable!] (restricted)
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This page was last updated on 2009-12-13.

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