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...
| 主要な著者: | , |
|---|---|
| フォーマット: | Working paper |
| 言語: | English |
| 出版事項: |
Nuffield College (University of Oxford)
2004
|