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...
| Main Authors: | , |
|---|---|
| Format: | Working paper |
| Published: |
University of Oxford
2010
|