Variable Lag Augmentation in Regression Models with Possibly Integrated Regressors : Some Experimental Results
廣島大學經濟論叢 31 巻 1 号
21-34 頁
2007-08-31 発行
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この文献の参照には次のURLをご利用ください : https://doi.org/10.15027/20339
ファイル情報(添付) | |
タイトル ( eng ) |
Variable Lag Augmentation in Regression Models with Possibly Integrated Regressors : Some Experimental Results
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作成者 |
Yamamoto Taku
Kurozumi Eiji
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収録物名 |
廣島大學經濟論叢
The Hiroshima Economic Review
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巻 | 31 |
号 | 1 |
開始ページ | 21 |
終了ページ | 34 |
収録物識別子 |
[ISSN] 0386-2704
[NCID] AN00213519
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抄録 |
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.
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NDC分類 |
経済 [ 330 ]
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言語 |
英語
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資源タイプ | 紀要論文 |
出版者 |
広島大学経済学会
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発行日 | 2007-08-31 |
出版タイプ | Version of Record(出版社版。早期公開を含む) |
アクセス権 | オープンアクセス |
収録物識別子 |
[ISSN] 0386-2704
[NCID] AN00213519
|