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Persistent link: https://www.econbiz.de/10003571217
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...
Persistent link: https://www.econbiz.de/10005787564
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...
Persistent link: https://www.econbiz.de/10005225477
In this paper, we extend the impulse saturation algorithm to a class of dynamic models. We show that the procedure is still correctly sized for stationary AR(1) processes, independently of the number of splits used for sample partitions. We derive theoretical power when there is an additive...
Persistent link: https://www.econbiz.de/10005510379
We develop a new automatically-computable test for super exogeneity, using a variant of general-to-specific modelling. Based on the recent developments in impulse saturation applied to marginal models under the null that no impulses matter, we select the significant impulses for testing in the...
Persistent link: https://www.econbiz.de/10004968106
OLS 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...
Persistent link: https://www.econbiz.de/10011133060
Persistent link: https://www.econbiz.de/10005613150
We develop a new automatically-computable test for super exogeneity, using a variant of general-to-specific modeling.  Based on the recent developments of impulse saturation applied to marginal models under the null that no impulses matter, we select the significant impulses for testing in the...
Persistent link: https://www.econbiz.de/10008511769
Persistent link: https://www.econbiz.de/10001923828
Persistent link: https://www.econbiz.de/10002124445