A procedure foe improving upon the performance of the traditional heteroskedast1c1ty pretest estimator

In heteroskedasticity pretesting, if the null hypothesis of homoskedasticity is accepted, the OLS estimator rather than the 2SAE is used. However, if the degree of severity of heteroskedasticity were so mild that the OLS estimator would still outperform the 2SAE, then this methodology would produce results that are inferior to the OLS estimator.

This paper suggests that instead of pretesting for the presence of heteroskedasticity alone, researchers should in addition use a relative efficiency criterion to compare the performance of both estimators for improved results.