Donatos, George S.; Michailidis, George C. - In: Money, trade and finance : recent trends and …, (pp. 195-221). 2021
In this chapter the sample properties of the least squares (LS) and of some ridge estimators (and predictors) are studied for alternative models of heteroscedasticity at various levels of multicollinearity, under normal and non-normal disturbances with small and large variances. The present...