Instrumental variables are often associated with low estimator precision. This paper explores efficiency gains which might be achievable using moment conditions which are nonlinear in the disturbances and are based on flexible parametric families for error distributions. We show that these...

<p>Instrumental variables are often associated with low estimator precision. This paper explores efficiency gains which might be achievable using moment conditions which are nonlinear in the disturbances and are based on flexible parametric families for error distributions. We show that these...</p>

This paper considers M-estimators of regression parameters that make use of a generalized functional form for the disturbance distribution. The family of distributions considered is the generalized <italic>t</italic> (GT), which includes the power exponential or Box-Tiao, normal, Laplace, and <italic>t</italic> distributions as...