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...
| Váldodahkkit: | , |
|---|---|
| Materiálatiipa: | Working paper |
| Giella: | English |
| Almmustuhtton: |
Nuffield College (University of Oxford)
2004
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