Statistical model selection with “Big Data”
Author:
Affiliation:
1. Institute for New Economic Thinking, Oxford Martin School, Oxford, UK.
2. Economics Department, Oxford University, Oxford, UK.
Publisher
Informa UK Limited
Subject
Economics and Econometrics,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/23322039.2015.1045216
Reference36 articles.
1. Model selection when there are multiple breaks
2. Model Selection in Equations with Many ‘Small’ Effects*
3. Detecting Location Shifts during Model Selection by Step-Indicator Saturation
4. A low-dimension portmanteau test for non-linearity
5. Semi-Automatic Nonlinear Model Selection
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