Model Selection in Equations with Many 'Small' Effects.
General unrestricted models (GUMs) may include important individual determinants, many small relevant effects, and irrelevant variables. Automatic model selection procedures can handle perfect collinearity and more candidate variables than observations, allowing substantial dimension reduction from...
| Main Authors: | , , |
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| Format: | Working paper |
| Language: | English |
| Published: |
Department of Economics (University of Oxford)
2011
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