Regression Models with Data-Based Indicator Variables.Report as inadecuate




Regression Models with Data-Based Indicator Variables. - Download this document for free, or read online. Document in PDF available to download.

Reference: David F Hendry and Carlos Santos, (2005). Regression Models with Data-Based Indicator Variables. Oxford Bulletin of Economics and Statistics, 67 (5), 571 - 595.Citable link to this page:

 

Regression Models with Data-Based Indicator Variables.

Abstract: Ordinary least squares 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 t-distribution, that test is inconsistent: one solution is to form an index of indicators. We provide Monte Carlo evidence that including a plethora of indicators need not distort model selection, permitting the use of many dummies in a general-to-specific framework. Although White's (1980) heteroskedasticity test is incorrectly sized in that context, we suggest an easy alteration. Finally, a possible modification to impulse intercept corrections is considered.

Publication status:PublishedPeer Review status:Peer reviewedVersion:Accepted ManuscriptNotes:© Blackwell Publishing Ltd, 2005. Published by Blackwell Publishing Ltd, 9600 Garsington Road, Oxford OX4 2DQ, UK and 350 Main Street, Malden, MA 02148, USA. The definitive version is available at www.blackwell-synergy.com.

Bibliographic Details

Publisher: Blackwell Publishing Ltd

Host: Oxford Bulletin of Economics and Statisticssee more from them

Publication Website: http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1468-0084

Issue Date: 2005Identifiers

Urn: uuid:f95ba6eb-5814-4e08-b104-e407d0f6dc15

Doi: https://doi.org/10.1111/j.1468-0084.2005.00132.x Item Description

Type: info:eu-repo/semantics/article;

Language: en

Version: Accepted Manuscript

Relationships





Author: David F Hendry - institutionUniversity of Oxford fundingEconomic and Social Research Council grantNumberRES051270035 - - - Carlos

Source: https://ora.ox.ac.uk/objects/uuid:f95ba6eb-5814-4e08-b104-e407d0f6dc15



DOWNLOAD PDF




Related documents