Using Auxiliary Regressions for More Efficient Estimation of Nonlinear Models

Paul Rilstone

Empirical Economics, 1994, vol. 19, issue 3, 317-27

Abstract: It is well known that additional moment conditions can lead to more efficient instrumental variables estimates of an econometric model. This paper shows how the auxiliary regressions implied by the derivatives of a nonlinear model can generate additional moment conditions and that these can be used for an efficiency gain over traditional procedures. This will generally lead to reduced standard errors and more powerful hypothesis tests.

Date: 1994
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Working Paper: Using Auxiliary Regressions For More Efficient Estimation of Nonlinear Models (1991)
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