Regression Models with Data-based Indicator Variables.

Regression Models with Data-based Indicator Variables.

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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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Dades bibliogràfiques
Autors principals:	Hendry, D, Santos, C
Format:	Working paper
Idioma:	English
Publicat:	Nuffield College (University of Oxford) 2004

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