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A note on pitfalls of credit crunch regressions

Ryo Kato ()

Economics Letters, 2008, vol. 99, issue 3, 504-507

Abstract: This note introduces an example where a typical credit crunch regression fails to detect significant effects of borrowing constraints embedded in a dynamic general equilibrium model. The failed estimation result remains robust even if the regression is based on a large sample.

Date: 2008
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Handle: RePEc:eee:ecolet:v:99:y:2008:i:3:p:504-507