Variable selection in high dimensional linear regressions with parameter instability
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Publication:6664675
DOI10.1016/J.JECONOM.2024.105900MaRDI QIDQ6664675FDOQ6664675
Authors: Alexander Chudik, M. Hashem Pesaran, Mahrad Sharifvaghefi
Publication date: 16 January 2025
Published in: Journal of Econometrics (Search for Journal in Brave)
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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