Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5096463 | Journal of Econometrics | 2012 | 8 Pages |
Abstract
We consider model selection facing uncertainty over the choice of variables and the occurrence and timing of multiple location shifts. General-to-simple selection is extended by adding an impulse indicator for every observation to the set of candidate regressors: see Johansen and Nielsen (2009). We apply that approach to a fat-tailed distribution, and to processes with breaks: Monte Carlo experiments show its capability of detecting up to 20 shifts in 100 observations, while jointly selecting variables. An illustration to USÂ real interest rates compares impulse-indicator saturation with the procedure in Bai and Perron (1998).
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Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Jennifer L. Castle, Jurgen A. Doornik, David F. Hendry,