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...

Descrición completa

Detalles Bibliográficos
Main Authors: Hendry, D, Santos, C
Formato: Working paper
Idioma:English
Publicado: Nuffield College (University of Oxford) 2004