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