Regression Models with Data‐based Indicator Variables*

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Inflation dynamics and food prices in Ethiopia (2013, methodology): “We use indexes of the impulse dummies with weights based on their coefficients in the general models to avoid distorting misspecification tests (Hendry and Santos, 2005).”
An Automatic Test of Super Exogeneity (2010, background): “The properties of tests on such impulse indicators are discussed in Hendry and Santos (2005) .”
Automatic selection of indicators in a fully saturated regression (2008, background): “Conditional on that occurrence, than many alternatives of how to form an index of the retained indicators can be entertained, which will not affect the null rejection frequency: Hendry and Santos (2005) show that after selecting indicators, indexes thereof can be formed without distorting inferenc”
Interpreting Dummy Variables in Semi-logarithmic Regression Models: Exact Distributional Results (2011, unknown): “In addition, Hendry and Santos (2005) show that j p̂ will be inconsistent and asymptotically nonnormal for certain specific formulations of the dummy variable, so particular case must be taken in such cases.”