Acknowledgements

This paper began on a napkin at the Falstaff Cafe on the Grand Place in Brussels. We wish to express our appreciation to the proprietors of this august institution for bibulous encouragement, and more circumspectly to the NSF for support under grant SBR-93-20555, and program Praxis XXI under grant 2/2.1/ECO/28/94.

DEPARTMENT OF ECONOMICS, UNIVERSITY OF ILLINOIS, CHAMPAIGN, IL 61820

FACULDADE DE ECONOMIA, UNIVERSIDADE NOVA DE LISBOA, TR. ESTEVfAO PINTO, P1070 LISBON

REFERENCES

CRAGG, J. (1983) More efficient estimation in the presence of heteroscedasticity, Econometrica, 51, 751-764.

JUDGE, G. AND BOCK, M.E. (1978) Implications of Pre-Test and Stein Rule Estimators in Econometrics, North-Holland.

KAKWANI, (1967), The unbiasedness of Zellner's SUR Estimators, J. of the Am. Stat. Association, 82, 141-142.

KOENKER,R., MACHADO, J.A.F., AND SKEELS, C. AND WELSH A.H. (1994) Momentary lapses: Moment expansions and the robustness of minimum distance estimation, Econometric Theory, 10, 172-197.

KOENKER,R., AND MACHADO, J.A.F. (1996) GMM inference when the number of moment conditions is large, unpublished.

ROTHENBERG, T. (1984) Approximate normality of generalized least squares estimates, Econometrica, 52, 811-826.

SCHMIDT, P. (1976), Econometrics, Dekker.

SIMON, G. (1976) Computer simulation swindles, with applications to estimates of location and dispersion, Applied Statistics, 25, 266-274.

STEIN, C. (1955), Inadmissability of the usual estimator of the mean of a multivariate normal distribution, in Proceedings of the 3rd Berkeley Symposium, 1, 197-206.