Model selection in equations with many 'small' effects

Model selection in equations with many 'small' effects

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

Bibliografske podrobnosti
Main Authors:	Castle, J, Doornik, J, Hendry, D
Format:	Journal article
Izdano:	Wiley 2013

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