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

Published online by Cambridge University Press:  01 February 2003

Stanislav Anatolyev
Stanislav Anatolyev
Affiliation:
New Economic School, Moscow
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Extract

Consider the following stationary time series regression.

Type
PROBLEMS AND SOLUTIONS
Information
Econometric Theory , Volume 19 , Issue 1 , February 2003 , pp. 225 - 226
Copyright
© 2003 Cambridge University Press

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References

REFERENCES

Broze, L., C. Francq, & J.-M. Zakoïan (2001) Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes. Economics Letters 71, 317–322.Google Scholar
West, K.D. (2001) On optimal instrumental variables estimation of stationary time series models. International Economic Review 42, 1043–1050.Google Scholar