A One Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models (ECTA 2018)

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Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
A. Chudik, G. Kapetanios, M. Hashem Pesaran A One Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models ECTA 2018 4 1479-1512 C52, C55 One covariate at a time, Multiple testing, Model selection, High dimensionality, Penalised regressions, Boosting, Monte Carlo experiments

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
1 - accessible on journal website 1 - accessible on journal website 1 - accessible on journal website Autoregressive model (AR), Lasso regression, One Covariate at a Time Multiple Testing (OCMT) Macro US GDP growth and CPI inflation, large set of macroeconomic variables, quarterly, from Stock and Watson (2012) USA MATLAB

Replication of this study

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement

References

DOI: 10.3982/ECTA14176 IDEAS: a/wly/emetrp/v86y2018i4p1479-1512.html EconPapers: RePEc:wly:emetrp:v:86:y:2018:i:4:p:1479-1512


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