Castle, Jennifer L.; Doornik, Jurgen A.; Hendry, David F. - In: Journal of Econometrics 169 (2012) 2, pp. 239-246
We consider model selection facing uncertainty over the choice of variables and the occurrence and timing of multiple location shifts. General-to-simple selection is extended by adding an impulse indicator for every observation to the set of candidate regressors: see Johansen and Nielsen (2009)....