Variable selection in panel models with breaks

DOI10.1016/j.jeconom.2019.04.033zbMath1452.62959MaRDI QIDQ2323384

Simon Smith, Yinchu Zhu, Allan G. Timmermann

Publication date: 2 September 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.04.033

zbMATH Keywords

Bayesian analysis; panel data; variable selection; structural breaks; firms' choice of capital structure; high-dimensional modeling

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F15: Bayesian inference

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Uses Software

• bvarsv

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