Optimally weighted SLS and degree-2 PMM are the same population estimating equation for linear regression with conditionally homoskedastic non-Gaussian errors, sharing influence function and asymptotic variance c2 g2 / N.
Lindsay, and Bing Li
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Second-Order Least Squares as a Special Case of the Polynomial Maximization Method
Optimally weighted SLS and degree-2 PMM are the same population estimating equation for linear regression with conditionally homoskedastic non-Gaussian errors, sharing influence function and asymptotic variance c2 g2 / N.