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...
| Main Authors: | , |
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| Format: | Working paper |
| Jezik: | English |
| Izdano: |
Nuffield College (University of Oxford)
2004
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