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Adding Regressors To Obtain Efficiency

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Author Info
Jun, Sung Jae
Pinkse, Joris

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Abstract

It is well known that in standard linear regression models with independent and identically distributed data and homoskedasticity, adding hurts (asymptotic) efficiency unless such irrelevant regressors are orthogonal to the remaining regressors. But we have found that under (conditional) heteroskedasticity can always be found such that one can achieve the asymptotic variance of the generalized least squares estimator by adding the to the model.

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File URL: http://journals.cambridge.org/abstract_S0266466608090567
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Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 25 (2009)
Issue (Month): 01 (February)
Pages: 298-301
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Handle: RePEc:cup:etheor:v:25:y:2009:i:01:p:298-301_09

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This page was last updated on 2009-11-24.

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