Model Selection when there are Multiple Breaks.

Model Selection when there are Multiple Breaks.

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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...

書誌詳細
主要な著者:	Castle, J, Doornik, J, Hendry, D
フォーマット:	Working paper
言語:	English
出版事項:	Department of Economics (University of Oxford) 2008

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