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’...
| Hlavní autoři: | , , , |
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| Médium: | Článek |
| Jazyk: | English |
| Vydáno: |
MDPI AG
2015-04-01
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| Edice: | Econometrics |
| Témata: | |
| On-line přístup: | http://www.mdpi.com/2225-1146/3/2/240 |