Chudik, Alexander; Pesaran, M. Hashem; Sharifvaghefi, Mahrad - 2020
This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability … variable selection. It is clear that, in the absence of breaks, researchers should weigh the observations equally at both … variable selection and forecasting stages. In this study, we investigate whether or not we should use weighted observations at …