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: 227-227

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

Abstract

Redundancy of lagged regressors in a conditionally heteroskedastic time series regressionAn excellent solution has been independently proposed by the S. Anatolyev, the poser of the problem.—solution.

Technical Details

RePEc Handle
repec:cup:etheor:v:20:y:2004:i:01:p:227-227_24
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-25