In the classical regression model with heteroscedasticity, which is more efficient, ordinary least squares or GMM? Obtain

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In the classical regression model with heteroscedasticity, which is more efficient, ordinary least squares or GMM? Obtain the two estimators and their respective asymptotic covariance matrices, then prove your assertion.

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Econometric Analysis

ISBN: 978-0130661890

5th Edition

Authors: William H. Greene

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