Add to ORKGAlthough a general unrestricted model may under-specify the data generation process, especially when breaks occur, model selection can still improve over estimating a prior specification.� Impulse-indicator saturation (IIS) can 'correct' non-constant intercepts induced by location shifts in omitted variables, which surprisingly leave slope parameters unaltered even when correlated with included variables.� However, location shifts in included variables do induce changes in slopes where there are correlated omitted variables.� IIS acts as a 'robust method' when models are mis-specified, and helps mitigate the adverse impacts of induced location shifts on non-constant intercepts and equation standard errors.Model selection, mis-specification,...
Following a general-to-specific modelling strategy, empirical economists sometimes delete variables ...
Using an extension of general-to-specific modelling, based on the recent developments of impulse-ind...
In simple static linear simultaneous equation models, the empirical distributions of IV and OLS are ...
Although a general unrestricted model may under-specify the data generation process, especially when...
When a model under-specifies the data generation process, model selection can improve over estimatin...
We consider model selection facing uncertainty over the choice of variables and the occurrence and t...
Model selection from a general unrestricted model (GUM) can potentially confront three very differen...
We consider selecting an econometric model when there is uncertainty over both the choice of variabl...
We consider selecting an econometric model when there is uncertainty over both the choice of variabl...
To capture location shifts in the context of model selection, we propose selecting significant step ...
We consider selecting a regression model, using a variant of general-to-specific, when there are mor...
To capture location shifts in the context of model selection, we propose selecting significant step ...
It is argued that model selection and robust estimation should be handled jointly.Impulse indicator ...
High dimensional general unrestricted models (GUMs) may include important individ-ual determinants, ...
General unrestricted models (GUMs) may include important individual determinants, many small relevan...
Following a general-to-specific modelling strategy, empirical economists sometimes delete variables ...
Using an extension of general-to-specific modelling, based on the recent developments of impulse-ind...
In simple static linear simultaneous equation models, the empirical distributions of IV and OLS are ...
Although a general unrestricted model may under-specify the data generation process, especially when...
When a model under-specifies the data generation process, model selection can improve over estimatin...
We consider model selection facing uncertainty over the choice of variables and the occurrence and t...
Model selection from a general unrestricted model (GUM) can potentially confront three very differen...
We consider selecting an econometric model when there is uncertainty over both the choice of variabl...
We consider selecting an econometric model when there is uncertainty over both the choice of variabl...
To capture location shifts in the context of model selection, we propose selecting significant step ...
We consider selecting a regression model, using a variant of general-to-specific, when there are mor...
To capture location shifts in the context of model selection, we propose selecting significant step ...
It is argued that model selection and robust estimation should be handled jointly.Impulse indicator ...
High dimensional general unrestricted models (GUMs) may include important individ-ual determinants, ...
General unrestricted models (GUMs) may include important individual determinants, many small relevan...
Following a general-to-specific modelling strategy, empirical economists sometimes delete variables ...
Using an extension of general-to-specific modelling, based on the recent developments of impulse-ind...
In simple static linear simultaneous equation models, the empirical distributions of IV and OLS are ...