Elliott, Graham; Gargano, Antonio; Timmermann, Allan - In: Journal of Economic Dynamics and Control 54 (2015) C, pp. 86-110
We analyze the complete subset regression (CSR) approach of Elliott et al. (2013) in situations with many possible predictor variables. The CSR approach has the computational advantage that it can be applied even when the number of predictors exceeds the sample size. Theoretical results...