Selecting a Regression Saturated by Indicators

Publikation: Working paperForskning

Dokumenter

  • 0726

    Forlagets udgivne version, 192 KB, PDF-dokument

  • David F. Hendry, Oxford University, Storbritannien
  • Søren Johansen
  • Carlos Santos, Portuguese Catholic University, Porto, Portugal
We consider selecting a regression model, using a variant of Gets, when there are more variables than observations, in the special case that the variables are impulse dummies (indicators) for every observation. We show that the setting is unproblematic if tackled appropriately, and obtain the finite-sample distribution of estimators of the mean and variance in a simple location-scale model under the null that no impulses matter. A Monte Carlo simulation confirms the null distribution, and shows power against an alternative of interest
OriginalsprogEngelsk
Antal sider17
StatusUdgivet - 2007
Eksternt udgivetJa

Bibliografisk note

JEL Classification: C51, C22

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