Chudik, Alexander; Pesaran, M. Hashem; Sharifvaghefi, Mahrad - 2023
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 …
