Hostname: page-component-cd9895bd7-jkksz Total loading time: 0 Render date: 2024-12-27T18:27:16.963Z Has data issue: false hasContentIssue false
  • English
  • Français

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
Get access Rights & Permissions [Opens in a new window]

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

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCE

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