Hostname: page-component-cd9895bd7-jkksz Total loading time: 0 Render date: 2024-12-27T18:14:18.240Z Has data issue: false hasContentIssue false
  • English
  • Français

REDUNDANCY OF LAGGED REGRESSORS REVISITED

Published online by Cambridge University Press:  30 January 2007

Stanislav Anatolyev
Stanislav Anatolyev
Affiliation:
New Economic School, Moscow
Get access Rights & Permissions [Opens in a new window]

Abstract

In a recent Econometric Theory problem, it was demonstrated that in a conditionally heteroskedastic time series regression with martingale difference errors the use of lagged values of regressors as instruments may not increase the efficiency of estimation relative to ordinary least squares. We provide an example of an analogous phenomenon in a model with serially correlated errors, where the optimal instrumental variables estimator is asymptotically as efficient as the instrumental variables estimator constructed as optimal when ignoring the presence of conditional heteroskedasticity.I thank a referee for providing useful comments that improved the presentation and the co-editor Paolo Paruolo for his patience.

Type
NOTES AND PROBLEMS
Information
Econometric Theory , Volume 23 , Issue 2 , April 2007 , pp. 364 - 368
Copyright
© 2007 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

REFERENCES

Anatolyev, S. (2003) Redundancy of lagged regressors in a conditionally heteroskedastic time series regression: Problem 03.1.2. Econometric Theory 19, 225–226.Google Scholar
Breusch, T., H. Qian, P. Schmidt, & D. Wyhowski (1999) Redundancy of moment conditions. Journal of Econometrics 91, 89–111.Google Scholar
Carrasco, M. (2004) Redundancy of lagged regressors in a conditionally heteroskedastic time series regression: Solution 03.1.2. Econometric Theory 20, 228–229.Google Scholar
Dhaene, G. (2004) Redundancy of lagged regressors in a conditionally heteroskedastic time series regression: Solution 03.1.2. Econometric Theory 20, 227.Google Scholar
Hansen, L.P. (1985) A method for calculating bounds on the asymptotic variance-covariance matrices of generalized method of moments estimators. Journal of Econometrics 30, 203–228.Google Scholar
West, K.D. (2001) On optimal instrumental variables estimation of stationary time series models. International Economic Review 42, 1043–1050.Google Scholar