Model Selection when there are Multiple Breaks.
We consider selecting an econometric model when there is uncertainty over both the choice of variables and the occurrence and timing of multiple location shifts. The theory of general-to-simple (Gets) selection is outlined and its efficacy demonstrated in a new set of simulation experiments first f...
| Main Authors: | , , |
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| Format: | Working paper |
| Language: | English |
| Published: |
Department of Economics (University of Oxford)
2008
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