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