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...
| Główni autorzy: | , |
|---|---|
| Format: | Working paper |
| Język: | English |
| Wydane: |
Nuffield College (University of Oxford)
2004
|