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...

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Bibliographic Details
Main Authors: Castle, J, Hendry, D, Doornik, J
Format: Working paper
Published: University of Oxford 2008