Variable Selection in High Dimensional Linear Regressions with Parameter Instability
Year of publication: |
2023
|
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Authors: | Chudik, Alexander ; Pesaran, M. Hashem ; Sharifvaghefi, Mahrad |
Publisher: |
Munich : Center for Economic Studies and ifo Institute (CESifo) |
Subject: | parameter instability | high-dimensionality | variable selection | One Covariate at a time Multiple Testing (OCMT) |
Series: | CESifo Working Paper ; 10223 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 1832556980 [GVK] hdl:10419/271867 [Handle] RePec:ces:ceswps:_10223 [RePEc] |
Classification: | C22 - Time-Series Models ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; c55 |
Source: |
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Variable selection in high dimensional linear regressions with parameter instability
Chudik, Alexander, (2023)
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Variable Selection and Forecasting in High Dimensional Linear Regressions with Structural Breaks
Chudik, Alexander, (2020)
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Variable selection and forecasting in high dimensional linear regressions with structural breaks
Chudik, Alexander, (2020)
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Variable selection in high dimensional linear regressions with parameter instability
Chudik, Alexander, (2023)
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Variable selection and forecasting in high dimensional linear regressions with structural breaks
Chudik, Alexander, (2020)
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Variable Selection and Forecasting in High Dimensional Linear Regressions with Structural Breaks
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