This paper is concerned with the problem of variable selection when the marginal effects of signals on the target … be used at the variable selection stage in the presence of parameter instability, particularly when the number of … potential covariates is large. Amongst the extant variable selection approaches, we focus on the One Covariate at a time …

This paper is concerned with the problem of variable selection when the marginal effects of signals on the target … be used at the variable selection stage in the presence of parameter instability, particularly when the number of … potential covariates is large. Amongst the extant variable selection approaches, we focus on the One Covariate at a time …

this end, we apply a battery of state-of-the-art variable selection techniques from machine learning, comprising Bayesian … model averaging (BMA), least absolute shrinkage and selection operator (LASSO), variable selection using random forests …