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REDUNDANCY OF LAGGED REGRESSORS REVISITED

Published online by Cambridge University Press:  30 January 2007

Stanislav Anatolyev
Stanislav Anatolyev
Affiliation:
New Economic School, Moscow
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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

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References

REFERENCES

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