Castle, Jennifer L.; Doornik, Jurgen A.; Hendry, David F.; … - In: Econometrics 3 (2015) 2, pp. 240-264
To capture location shifts in the context of model selection, we propose selecting significant step indicators from a saturating set added to the union of all of the candidate variables. The null retention frequency and approximate non-centrality of a selection test are derived using a...
