Variable Lag Augmentation in Regression Models with Possibly Integrated Regressors : Some Experimental Results

廣島大學經濟論叢 Volume 31 Issue 1 Page 21-34 published_at 2007-08-31
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Title ( eng )
Variable Lag Augmentation in Regression Models with Possibly Integrated Regressors : Some Experimental Results
Creator
Yamamoto Taku
Kurozumi Eiji
Source Title
廣島大學經濟論叢
The Hiroshima Economic Review
Volume 31
Issue 1
Start Page 21
End Page 34
Journal Identifire
[ISSN] 0386-2704
[NCID] AN00213519
Abstract
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.
NDC
Economics [ 330 ]
Language
eng
Resource Type departmental bulletin paper
Publisher
広島大学経済学会
Date of Issued 2007-08-31
Publish Type Version of Record
Access Rights open access
Source Identifier
[ISSN] 0386-2704
[NCID] AN00213519