Variable Selection in High Dimensional Linear Regressions with Parameter Instability

no code implementations • 24 Dec 2023 • Alexander Chudik, M. Hashem Pesaran, Mahrad Sharifvaghefi

We pose the issue of whether one should use weighted or unweighted observations at the variable selection stage in the presence of parameter instability, particularly when the number of potential covariates is large.

Variable Selection

Pooled Bewley Estimator of Long Run Relationships in Dynamic Heterogenous Panels

no code implementations • 3 Nov 2023 • Alexander Chudik, M. Hashem Pesaran, Ron P. Smith

Using a transformation of the autoregressive distributed lag model due to Bewley, a novel pooled Bewley (PB) estimator of long-run coefficients for dynamic panels with heterogeneous short-run dynamics is proposed.