ESTIMATION OF EFFICIENT REGRESSION MODELS FOR APPLIED AGRICULTURAL ECONOMICS RESEARCH

distributed, this could become an important tool in agricultural economics research. The theory and
examples above also suggest that the degree of improvement over the normal-error models depends on how
much the true error term distribution deviates from normality and on how well the non-normal error term
distribution on which the partially adaptive estimation procedure is based approximates the true data-
generating distribution. This is why very flexible distributions, such as the expanded form of the Johnson
Su family, should be preferred for partially adaptive estimation. The applications above also illustrate that
proposed technique could be useful if the estimated models will be used to simulate conditional probability
distributions for the dependent variable, which are often used for economic risk analysis.

References

Bickel, P.J. (1976). Another look at robustness. Scandinavian Journal of Statistics, 3:145-168.

Bierens, H.J. (1981). Robust Methods and Asymptotic Theory in Nonlinear Econometrics, Springer
Verlag, Berlin.

D’Agostino, R.B., A. Belanger, and R.B. D’Agostino Jr. A Suggestion for Using Powerful and Informative
Tests of Normality. The American Statistician, 44(4, 1990):316-321.

Dielmam, T., and Pfaffenberger (1982). LAV (least absolute value) estimation in linear regression: a
review. TIMS Studies in the Management Sciences, 19:31-52.

Goldfeld, S.M., and R.E. Quandt. Econometric Modeling with Non-Normal Disturbances. Journal of
Econometrics, 17(1981):141-155.

Hsieh, D.A., and C.F. Manski. Monte Carlo evidence on adaptive maximum likelihood estimation of a
regression. Annals of Statistics, 15(1987):541-551.

Johnson, N.L., S. Kotz, and N. Balakrishnan. 1994. Continuous Univariate Distributions. New York:
Wiley & Sons.

Joiner, B.L., and D.L. Hall (1983). The ubiquitous role of f/f in efficient estimation of location. The
American Statistician, 37:128-133.

Judge, G.G., W.E. Griffiths, R. Carter Hill, H. Lutkepohl, and Tsoung-Chao Lee. The Theory and

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