When a model under-specifies the data generation process, model selection can improve over estimating a prior specification, especially if location shifts occur. Impulse-indicator saturation (IIS) can ‘correct’ non-constant intercepts induced by location shifts in omitted variables, which...

Unpredictability arises from intrinsic stochastic variation, unexpected instances of outliers, and unanticipated extrinsic shifts of distributions. We analyze their properties, relationships, and different effects on the three arenas in the title, which suggests considering three associated...