Variable lag augmentation in regression models with possibly integated regressors: some experimental results
書誌事項
- タイトル別名
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- Variable Lag Augmentation in Regression Models with Possibly Integrated Regressors : Some Experimental Results
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This paper is concerned with the Wald test statistic of general restrictions in dynamic regression models with possiobly integrated regressors. We try to improve the size and power of the Wald statistic through the extended lag augmentation (LA) in the regression model and the bias correction of the instrumental variable (IV) estimator. It has been known that the extended lag augmentation is generally, but not always, useful in increasing the finite sample power of the Wald statistic. In this papper we propose a new approach, called the variable lag augmentation approach, which selects an appropriate lag length. The finite sample experiments show that the proposed approach produces higher power of the test than the conventional LA estimator.
収録刊行物
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- 廣島大學經濟論叢
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廣島大學經濟論叢 31 (1), 21-34, 2007-08-31
広島大学経済学会
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詳細情報 詳細情報について
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- CRID
- 1390572174808598272
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- NII論文ID
- 110006409424
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- NII書誌ID
- AN00213519
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- DOI
- 10.15027/20339
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- NDL書誌ID
- 8938305
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- ISSN
- 03862704
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- 本文言語コード
- en
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- データソース種別
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- JaLC
- IRDB
- NDL
- CiNii Articles
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- 抄録ライセンスフラグ
- 使用可