Detecting Location Shifts during Model Selection by Step-Indicator Saturation
نویسندگان
چکیده
منابع مشابه
Detecting Location Shifts during Model Selection by Step-Indicator Saturation
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 simu...
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ژورنال
عنوان ژورنال: Econometrics
سال: 2015
ISSN: 2225-1146
DOI: 10.3390/econometrics3020240