Selecting a Regression Saturated by Indicators
Publikation: Working paper › Forskning
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Selecting a Regression Saturated by Indicators. / Hendry, David F.; Johansen, Søren; Santos, Carlos.
Department of Economics, University of Copenhagen, 2007.Publikation: Working paper › Forskning
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TY - UNPB
T1 - Selecting a Regression Saturated by Indicators
AU - Hendry, David F.
AU - Johansen, Søren
AU - Santos, Carlos
N1 - JEL Classification: C51, C22
PY - 2007
Y1 - 2007
N2 - 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
AB - 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
KW - Faculty of Social Sciences
KW - indicators
KW - regression saturation
KW - subset selection
KW - model selection
M3 - Working paper
BT - Selecting a Regression Saturated by Indicators
PB - Department of Economics, University of Copenhagen
ER -
ID: 1523856