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 i...
| Үндсэн зохиолчид: | , |
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| Формат: | Working paper |
| Хэвлэсэн: |
University of Oxford
2010
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