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

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概要

• 論文の詳細を見る

• 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.

• 広島大学の論文
• 2007-08-31

著者

• 山本 拓

  一橋大学大学院経済学研究科教授

• 黒住 英司

  一橋大学大学院経済学研究科准教授

• 黒住 英司

  Graduate School Of Economics Hitotsubashi University

• Kurozumi Eiji

  Department Of Economics Hitotsubashi University

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