Regression Models with Data‐based Indicator Variables*
指出普通最小二乘估计脉冲指示变量系数不一致但方差可一致估计，通过蒙特卡洛证据表明大量指示变量不扭曲模型选择，并修正了White异方差检验的尺寸问题。
Abstract Ordinary least squares estimation of an impulse‐indicator coefficient is inconsistent, but its variance can be consistently estimated. Although the ratio of the inconsistent estimator to its standard error has a t ‐distribution, that test is inconsistent: one solution is to form an index of indicators. We provide Monte Carlo evidence that including a plethora of indicators need not distort model selection, permitting the use of many dummies in a general‐to‐specific framework. Although White's (1980) heteroskedasticity test is incorrectly sized in that context, we suggest an easy alteration. Finally, a possible modification to impulse ‘intercept corrections’ is considered.