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03.1.2. Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression—Solution

Published online by Cambridge University Press:  05 March 2004

G. Dhaene
G. Dhaene
Affiliation:
Katholieke Universiteit Leuven, Belgium
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Extract

Redundancy of lagged regressors in a conditionally heteroskedastic time series regressionAn excellent solution has been independently proposed by the S. Anatolyev, the poser of the problem.—solution.

Type
PROBLEMS AND SOLUTIONS: SOLUTIONS
Information
Econometric Theory , Volume 20 , Issue 1 , February 2004 , pp. 227
Copyright
© 2004 Cambridge University Press

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References

REFERENCE

Breusch, T., H. Qian, P. Schmidt, & D. Wyhowski (1999) Redundancy of moment conditions. Journal of Econometrics 91, 89–111.Google Scholar