TY  - BOOK
AU  - Jun,Sung Jae
AU  - Pinkse,Joris
TI  - Adding regressors to obtain efficiency
SN  - 02664666
AV  - HB139.T52 ECO 
PY  - 2009///
CY  - Cambridge
PB  - Cambridge University Press
KW  - Estimation theory
KW  - Efficiency
KW  - Regression analysis
N2  - 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
UR  - https://doi.org/10.1017/S0266466608090567
ER  -