More efficient estimation under non-normality when higher moments do not depend on the regressors, using residual augmented least squares

By K. Im, P. Schmidt. 2008

116 citations recorded by the source corpus.

Subfields: Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/35e9b764a2c21775cf3d54ed960723d74ac007e0

Citations in the corpus

• More Powerful Unit Root Tests with Non-normal Errors (2014, unknown): “Speci…cally, we adopt a simple two-step procedure based on the "residual augmented least squares" (RALS) methodology, following the work of Im and Schmidt (2008).”