Variable selection in high dimensional linear regressions with parameter instability
Alexander Chudik, M. Hashem Pesaran, Mahrad Sharifvaghefi
| Year of publication: |
2024
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|---|---|
| Authors: | Chudik, Alexander ; Pesaran, M. Hashem ; Sharifvaghefi, Mahrad |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ZDB-ID 1460617-3. - Vol. 246.2024, 1, Art.-No. 105900, p. 1-25
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| Subject: | Variable selection | Forecasting | Lasso | OCMT | One Covariate at a Time Multiple Testing | Parameter instability | Schätztheorie | Estimation theory | Regressionsanalyse | Regression analysis | Prognoseverfahren | Forecasting model | Statistischer Test | Statistical test | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2024.105900 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015555958