Detecting Location Shifts during Model Selection by Step-Indicator Saturation
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 ‘split-half’...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2015-04-01
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| Series: | Econometrics |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2225-1146/3/2/240 |
| _version_ | 1828116602569097216 |
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| author | Jennifer L. Castle Jurgen A. Doornik David F. Hendry Felix Pretis |
| author_facet | Jennifer L. Castle Jurgen A. Doornik David F. Hendry Felix Pretis |
| author_sort | Jennifer L. Castle |
| collection | DOAJ |
| description | 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 ‘split-half’ analysis, the simplest specialization of a multiple-path block-search algorithm. Monte Carlo simulations, extended to sequential reduction, confirm the accuracy of nominal significance levels under the null and show retentions when location shifts occur, improving the non-null retention frequency compared to the corresponding impulse-indicator saturation (IIS)-based method and the lasso. |
| first_indexed | 2024-04-11T12:59:36Z |
| format | Article |
| id | doaj.art-94e321d9569c441aa4f695e8bd69743f |
| institution | Directory Open Access Journal |
| issn | 2225-1146 |
| language | English |
| last_indexed | 2024-04-11T12:59:36Z |
| publishDate | 2015-04-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Econometrics |
| spelling | doaj.art-94e321d9569c441aa4f695e8bd69743f2022-12-22T04:22:59ZengMDPI AGEconometrics2225-11462015-04-013224026410.3390/econometrics3020240econometrics3020240Detecting Location Shifts during Model Selection by Step-Indicator SaturationJennifer L. Castle0Jurgen A. Doornik1David F. Hendry2Felix Pretis3Magdalen College and Institute for New Economic Thinking, Oxford Martin School, Oxford University, Eagle House, Walton Well Road, Oxford OX2 6ED, UKEconomics Department and Institute for New Economic Thinking, Oxford Martin School, Oxford University, Eagle House, Walton Well Road, Oxford OX2 6ED, UKEconomics Department and Institute for New Economic Thinking, Oxford Martin School, Oxford University, Eagle House, Walton Well Road, Oxford OX2 6ED, UKEconomics Department and Institute for New Economic Thinking, Oxford Martin School, Oxford University, Eagle House, Walton Well Road, Oxford OX2 6ED, UKTo 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 ‘split-half’ analysis, the simplest specialization of a multiple-path block-search algorithm. Monte Carlo simulations, extended to sequential reduction, confirm the accuracy of nominal significance levels under the null and show retentions when location shifts occur, improving the non-null retention frequency compared to the corresponding impulse-indicator saturation (IIS)-based method and the lasso.http://www.mdpi.com/2225-1146/3/2/240structural breaksmodel selectionMonte Carloindicator saturationAutometrics |
| spellingShingle | Jennifer L. Castle Jurgen A. Doornik David F. Hendry Felix Pretis Detecting Location Shifts during Model Selection by Step-Indicator Saturation Econometrics structural breaks model selection Monte Carlo indicator saturation Autometrics |
| title | Detecting Location Shifts during Model Selection by Step-Indicator Saturation |
| title_full | Detecting Location Shifts during Model Selection by Step-Indicator Saturation |
| title_fullStr | Detecting Location Shifts during Model Selection by Step-Indicator Saturation |
| title_full_unstemmed | Detecting Location Shifts during Model Selection by Step-Indicator Saturation |
| title_short | Detecting Location Shifts during Model Selection by Step-Indicator Saturation |
| title_sort | detecting location shifts during model selection by step indicator saturation |
| topic | structural breaks model selection Monte Carlo indicator saturation Autometrics |
| url | http://www.mdpi.com/2225-1146/3/2/240 |
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