Regression models with data-based indicator variables
Ordinary least squares estimation of an impulse-indicator coefficient is inconsistent, but its variance can be consistently estimated. Although the ratio of the inconsistent estimator to its standard error has a t-distribution, that test is inconsistent: one solution is to form an index of indicator...
Main Authors: | Hendry, D, Santos, C |
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Format: | Journal article |
Language: | English |
Published: |
2005
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Subjects: |
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