Hostname: page-component-7b9c58cd5d-hpxsc Total loading time: 0 Render date: 2025-03-21T12:23:42.746Z 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

Marine Carrasco
Marine Carrasco
Affiliation:
University of Rochester
Get access Rights & Permissions [Opens in a new window]

Extract

Redundancy of lagged regressors in a conditionally heteroskedastic time series regression—solution.

Type
PROBLEMS AND SOLUTIONS: SOLUTIONS
Information
Econometric Theory , Volume 20 , Issue 1 , February 2004 , pp. 228 - 229
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

Hansen, L. P. (1985) A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators. Journal of Econometrics 203–238.Google Scholar