Abstract:

Correcting for heteroscedasticity in GMM estimation of the linear model can improve upon the Gauss-Markov estimator even when there is no heteroscedasticity to correct.

The Falstaff Estimator

José A. F. Machado

August 31, 1997

• Introduction
• The Falstaff Estimator
• Monte Carlo
• Morals
• Acknowledgements
• About this document ...