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...

Полное описание

Библиографические подробности
Главные авторы:	Hendry, D, Santos, C
Формат:	Working paper
Язык:	English
Опубликовано:	Nuffield College (University of Oxford) 2004

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