Selecting a Regression Saturated by Indicators

Publikation: Working paperForskning

  • David F. Hendry, Oxford University, Storbritannien
  • Søren Johansen
  • Carlos Santos, Portuguese Catholic University, Porto, Portugal
  • Institut for Økonomi
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
UdgivelsesstedAarhus
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider17
StatusUdgivet - 2007

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