Balanced variable addition in linear models

Giuseppe De Luca, Franco Peracchi, Jan R. Magnus

Risultato della ricerca: Articlepeer review

3 Citazioni (Scopus)

Abstract

This paper studies what happens when we move from a short regression to a long regression in a setting where both regressions are subject to misspecification. In this setup, the least-squares estimator in the long regression may have larger inconsistency than the least-squares estimator in the short regression. We provide a simple interpretation for the comparison of the inconsistencies and study under which conditions the additional regressors in the long regression represent a ‘balanced addition’ to the short regression.
Lingua originaleEnglish
pagine (da-a)1183-1200
Numero di pagine18
RivistaJournal of Economic Surveys
Volume32
Stato di pubblicazionePublished - 2018

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

Fingerprint Entra nei temi di ricerca di 'Balanced variable addition in linear models'. Insieme formano una fingerprint unica.

Cita questo