Model selection when there are multiple breaks
We consider model selection facing uncertainty over the choice of variables and the occurrence and timing of multiple location shifts. General-to-simple selection is extended by adding an impulse indicator for every observation to the set of candidate regressors: see Johansen and Nielsen (2009). We...
| Main Authors: | , , |
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| Format: | Journal article |
| Published: |
Elsevier
2012
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