Adding regressors to obtain efficiency
Jun, Sung Jae
Adding regressors to obtain efficiency created by Sung Jae Jun and Joris Pinkse - Econometric theory Volume 25, number 1, .
It is well known that in standard linear regression models with independent and identically distributed data and homoskedasticity, adding “irrelevant regressors” hurts (asymptotic) efficiency unless such irrelevant regressors are orthogonal to the remaining regressors. But we have found that under (conditional) heteroskedasticity “irrelevant regressors” can always be found such that one can achieve the asymptotic variance of the generalized least squares estimator by adding the “irrelevant regressors” to the model.
02664666
Estimation theory--Regression analysis--Efficiency
HB139.T52 ECO
Adding regressors to obtain efficiency created by Sung Jae Jun and Joris Pinkse - Econometric theory Volume 25, number 1, .
It is well known that in standard linear regression models with independent and identically distributed data and homoskedasticity, adding “irrelevant regressors” hurts (asymptotic) efficiency unless such irrelevant regressors are orthogonal to the remaining regressors. But we have found that under (conditional) heteroskedasticity “irrelevant regressors” can always be found such that one can achieve the asymptotic variance of the generalized least squares estimator by adding the “irrelevant regressors” to the model.
02664666
Estimation theory--Regression analysis--Efficiency
HB139.T52 ECO