The Falstaff estimator

Roger Koenker, José A.F. MacHado

Research output: Contribution to journalArticlepeer-review


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.

Original languageEnglish (US)
Pages (from-to)23-28
Number of pages6
JournalEconomics Letters
Issue number1
StatePublished - Oct 1 1998


  • C13
  • C20
  • GMM
  • Heteroscedasticity
  • Moment expansion
  • Robustness

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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