Outliers and model selection: discussion of the paper by Søren Johansen and Bent Nielsen
It is argued that model selection and robust estimation should be handled jointly.Impulse indicator saturation makes that possible, but leads to the situation where there are morevariables than observations. This is illustrated by revisiting the analysis of Tobin’s food data.
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| Materialtyp: | Journal article |
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Wiley
2016
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