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Redundancy of lagged regressors in a
conditionally heteroskedastic time series regression

Citation:

Anatolyev, Stanislav (2003) *"Redundancy of lagged regressors in a
conditionally heteroskedastic time series regression"*, Econometric Theory,
Vol. 19, No. 1, Problem 03.1.2, pp. 225–226

Paper in RePEc:

Econometric Theory, 19:1

Problem and solution
in accepted version:

ProblemHet.pdf

Cited by:

Marine Carrasco and Jean-Pierre Florens (2003)
*"On the Asymptotic Efficiency of GMM"*, Manuscript,
Econometric Society 2004 North American Winter Meetings.