Adding regressors to obtain efficiency

Research output: Contribution to journalArticle

2 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)298-301
Number of pages4
JournalEconometric Theory
Volume25
Issue number1
DOIs
StatePublished - Feb 1 2009

All Science Journal Classification (ASJC) codes

  • Social Sciences (miscellaneous)
  • Economics and Econometrics

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