Variable Selection and Forecasting in High Dimensional Linear Regressions with Structural Breaks
Year of publication: |
2020
|
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Authors: | Chudik, Alexander ; Pesaran, M. Hashem ; Sharifvaghefi, Mahrad |
Publisher: |
Munich : Center for Economic Studies and Ifo Institute (CESifo) |
Subject: | time-varying parameters | structural breaks | high-dimensionality | multiple testing | variable selection | one covariate at a time multiple testing (OCMT) | forecasting |
Series: | CESifo Working Paper ; 8475 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 1726992276 [GVK] hdl:10419/223547 [Handle] RePec:ces:ceswps:_8475 [RePEc] |
Classification: | C22 - Time-Series Models ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; c55 |
Source: |
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