Regression Models with Data-based Indicator Variables.

OLS 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 tdistribution, that test is inconsistent: one solution is to form an index of indicators. We provide Monte...

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التفاصيل البيبلوغرافية
المؤلفون الرئيسيون: Hendry, D, Santos, C
التنسيق: Working paper
اللغة:English
منشور في: Nuffield College (University of Oxford) 2004

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