03.1.2 Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression—Solution

B-Tier

Journal: Econometric Theory

Year: 2004

Volume: 20

Issue: 1

Pages: 228-229

Authors (1)

Carrasco, Marine (Université de Montréal)

Score contribution per author:

2.018 = (α=2.02 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Redundancy of lagged regressors in a conditionally heteroskedastic time series regression—solution.