Variable selection in high dimensional linear regressions with parameter instability

DOI10.1016/j.jeconom.2024.105900MaRDI QIDQ6664675

M. Hashem Pesaran, Alexander Chudik, Mahrad Sharifvaghefi

Publication date: 16 January 2025

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

forecastingvariable selectionLassoparameter instabilityOCMTone covariate at a time multiple testing

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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