| Autor: |
Jennifer L. Castle, Jurgen A. Doornik, David F. Hendry, Felix Pretis |
| Jazyk: |
angličtina |
| Rok vydání: |
2015 |
| Předmět: |
|
| Zdroj: |
Econometrics, Vol 3, Iss 2, Pp 240-264 (2015) |
| Druh dokumentu: |
article |
| ISSN: |
2225-1146 |
| DOI: |
10.3390/econometrics3020240 |
| Popis: |
To capture location shifts in the context of model selection, we propose selecting significant step indicators from a saturating set added to the union of all of the candidate variables. The null retention frequency and approximate non-centrality of a selection test are derived using a ‘split-half’ analysis, the simplest specialization of a multiple-path block-search algorithm. Monte Carlo simulations, extended to sequential reduction, confirm the accuracy of nominal significance levels under the null and show retentions when location shifts occur, improving the non-null retention frequency compared to the corresponding impulse-indicator saturation (IIS)-based method and the lasso. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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