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...
المؤلفون الرئيسيون: | Hendry, D, Santos, C |
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التنسيق: | Working paper |
اللغة: | English |
منشور في: |
Nuffield College (University of Oxford)
2004
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مواد مشابهة
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Regression models with data-based indicator variables
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Automatic selection on indicators in a fully saturated regression
حسب: Hendry, D, وآخرون
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