Journal article
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 ...
Expand abstract
- Publication status:
- Published
- Peer review status:
- Peer reviewed
Actions
Authors
Bibliographic Details
- Journal:
- Oxford Bulletin of Economics and Statistics Journal website
- Volume:
- 67
- Issue:
- 5
- Pages:
- 571-595
- Publication date:
- 2005-10-01
- DOI:
- ISSN:
-
0305-9049
Item Description
Related Items
Terms of use
- Copyright holder:
- Blackwell Publishing
- Copyright date:
- 2005
- Notes:
- The full-text of this article is not available in ORA at this time. Citation: Hendry, D. F. & Santos, C. (2005). 'Regression models with data-based indicator variables', Oxford Bulletin of Economics and Statistics, 67(5), 571-595. [The definitive version is available at www.blackwell-synergy.com].
Metrics
If you are the owner of this record, you can report an update to it here: Report update to this record