Abstract:This paper is concerned with the problem of variable selection when the marginal effects of signals on the target variable as well as the correlation of the covariates in the active set are allowed to vary over time, without committing to any particular model of parameter instabilities. It poses the issue of whether weighted or unweighted observations should be used at the variable selection stage in the presence of parameter instability, particularly when the number of potential covariates is large. Amongst t… Show more
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