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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
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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

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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