Midlands State University Library
Image from Google Jackets

Adding regressors to obtain efficiency created by Sung Jae Jun and Joris Pinkse

By: Contributor(s): Material type: TextTextSeries: Econometric theory ; Volume 25, number 1,Cambridge: Cambridge University Press, 2009Content type:
  • text
Media type:
  • unmediated
Carrier type:
  • volume
ISSN:
  • 02664666
Subject(s): LOC classification:
  • HB139.T52 ECO
Online resources: Abstract: 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.
Reviews from LibraryThing.com:
Tags from this library: No tags from this library for this title. Log in to add tags.
Star ratings
    Average rating: 0.0 (0 votes)
Holdings
Item type Current library Call number Vol info Copy number Status Notes Date due Barcode
Journal Article Journal Article Main Library - Special Collections HB139.T52 ECO (Browse shelf(Opens below)) Vol. 25, no.1 (pages 298-302) SP3256 Not for loan For In House Use Only

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.

There are no comments on this title.

to post a comment.