In the era of Big Data, selecting relevant variables from a potentially large pool of candidate variables becomes a newly emerged concern in macroeconomic researches, especially when the data available is high-dimensional, i.e., the number of explanatory variables (p) is greater than the length...

Volume 36 of Advances in econometrics recognizes Aman Ullah's significant contributions in many areas of econometrics and celebrates his long productive career. The volume features original papers on the theory and practice of econometrics that is related to the work of Aman Ullah. Topics...