REDUNDANCY OF LAGGED REGRESSORS REVISITED
研究了在条件异方差时间序列回归中，使用滞后回归元作为工具变量是否比普通最小二乘法更有效，并给出了序列相关误差模型中的类似现象。
In a recent Econometric Theory problem, it was demonstrated that in a conditionally heteroskedastic time series regression with martingale difference errors the use of lagged values of regressors as instruments may not increase the efficiency of estimation relative to ordinary least squares. We provide an example of an analogous phenomenon in a model with serially correlated errors, where the optimal instrumental variables estimator is asymptotically as efficient as the instrumental variables estimator constructed as optimal when ignoring the presence of conditional heteroskedasticity.I thank a referee for providing useful comments that improved the presentation and the co-editor Paolo Paruolo for his patience.