Data from Constructing Historical Euro-Zone Data, Economic Journal, 2001, 111:F102-F121. Quarterly, 1979q1 to 1999q4.

We consider model selection facing uncertainty over the choice of variables and the occurrence and timing of multiple location shifts. General-to-simple selection is extended by adding an impulse indicator for every observation to the set of candidate regressors: see Johansen and Nielsen (2009)....

Many economic models (such as the new-Keynesian Phillips curve, NKPC) include expected future values, often estimated after replacing the expected value by the actual future outcome, using Instrumental Variables (IV) or Generalized Method of Moments (GMM). Although crises, breaks, and regime...

Many economic models (such as the new-Keynesian Phillips curve, NKPC) include expected future values, often estimated after replacing the expected value by the actual future outcome, using Instrumental Variables or Generalized Method of Moments. Although crises, breaks and regime shifts are...

High dimensional general unrestricted models (GUMs) may include important individual determinants, many small relevant effects, and irrelevant variables. Automatic model selection procedures can handle more candidate variables than observations, allowing substantial dimension reduction from GUMs...

To capture location shifts in the context of model selection, we propose selecting significant step indicators from a saturating set added to the union of all of the candidate variables. The null retention frequency and approximate non-centrality of a selection test are derived using a...