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Variable Lag Augmentation in Regression Models with Possibly Integrated Regressors : Some Experimental Results
https://doi.org/10.15027/20339
https://doi.org/10.15027/2033921c9f2f7-92d2-4be6-b1f8-9bea0e32d53e
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
HER_31-1_21.pdf (592.0 KB)
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| Item type | デフォルトアイテムタイプ_（フル）(1) | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 公開日 | 2023-03-18 | |||||||||
| タイトル | ||||||||||
| タイトル | Variable Lag Augmentation in Regression Models with Possibly Integrated Regressors : Some Experimental Results | |||||||||
| 言語 | en | |||||||||
| 作成者 |
Yamamoto, Taku
× Yamamoto, Taku
× Kurozumi, Eiji
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| アクセス権 | ||||||||||
| アクセス権 | open access | |||||||||
| アクセス権URI | http://purl.org/coar/access_right/c_abf2 | |||||||||
| 主題 | ||||||||||
| 主題Scheme | NDC | |||||||||
| 主題 | 330 | |||||||||
| 内容記述 | ||||||||||
| 内容記述 | 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. | |||||||||
| 言語 | en | |||||||||
| 出版者 | ||||||||||
| 出版者 | 広島大学経済学会 | |||||||||
| 言語 | ||||||||||
| 言語 | eng | |||||||||
| 資源タイプ | ||||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||||||
| 資源タイプ | departmental bulletin paper | |||||||||
| 出版タイプ | ||||||||||
| 出版タイプ | VoR | |||||||||
| 出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||||||
| ID登録 | ||||||||||
| ID登録 | 10.15027/20339 | |||||||||
| ID登録タイプ | JaLC | |||||||||
| 収録物識別子 | ||||||||||
| 収録物識別子タイプ | ISSN | |||||||||
| 収録物識別子 | 0386-2704 | |||||||||
| 収録物識別子 | ||||||||||
| 収録物識別子タイプ | NCID | |||||||||
| 収録物識別子 | AN00213519 | |||||||||
| 開始ページ | ||||||||||
| 開始ページ | 21 | |||||||||
| 書誌情報 |
廣島大學經濟論叢 The Hiroshima Economic Review 巻 31, 号 1, p. 21-34, 発行日 2007-08-31 |
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| 旧ID | 20339 | |||||||||
