Model Selection in Under-specified Equations Facing Breaks.
Although a general unrestricted model may under-specify the data generation process, especially when breaks occur, model selection can still improve over estimating a prior specification. Impulse-indicator saturation (IIS) can ‘correct’ non-constant intercepts induced by location shifts in omitted...
| Main Authors: | , |
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| Format: | Working paper |
| Language: | English |
| Published: |
Department of Economics (University of Oxford)
2010
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