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A One Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models (ECTA 2018)
Article data 1 - accessible on journal website  +
Article data type Macro
Article data used US GDP growth and CPI inflation  + , large set of macroeconomic variables  + , quarterly  + , from Stock and Watson (2012)  +
Article edition 4
Article journal [[:Category:ECTA|ECTA]]
Article methods and estimation Autoregressive model (AR) , Lasso regression , One Covariate at a Time Multiple Testing (OCMT)
Article origin of data used USA
Article pages 1479-1512
Article program code 1 - accessible on journal website  +
Article readme 1 - accessible on journal website  +
Article software used MATLAB
Article year 2018
Articleauthors A. Chudik + , M. Hashem Pesaran + , G. Kapetanios +
Articlejel C52 + , Category:C55 - Large Data Sets: Modeling and Analysis +
Articlekeywords One covariate at a time + , Multiple testing + , Model selection + , High dimensionality + , Penalised regressions + , Boosting + , Monte Carlo experiments +
DOI [https://doi.org/10.3982/ECTA14176 10.3982/ECTA14176]  +
EconPapers/RePEc [http://EconPapers.repec.org/RePEc:wly:emetrp:v:86:y:2018:i:4:p:1479-1512 RePEc:wly:emetrp:v:86:y:2018:i:4:p:1479-1512]  +
IDEAS/RePEc [http://ideas.repec.org/a/wly/emetrp/v86y2018i4p1479-1512.html a/wly/emetrp/v86y2018i4p1479-1512.html]  +
Categories Study lacking replication  + , ECTA 2018 (4)  +
Modification dateThis property is a special property in this wiki. 17 August 2018 16:26:43  +
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