We consider selecting a regression model, using a variant of Gets, when there are more variables than observations, in the special case that the variables are impulse dummies (indicators) for every observation. We show that the setting is unproblematic if tackled appropriately, and obtain the...

We consider selecting a regression model, using a variant of Gets, when there are more variables than observations, in the special case that the variables are impulse dummies (indicators) for every observation. We show that the setting is unproblematic if tackled appropriately, and obtain the...

We develop a new automatically-computable test for super exogeneity, using a variant of general-to-specific modelling. Based on the recent developments in impulse saturation applied to marginal models under the null that no impulses matter, we select the significant impulses for testing in the...

We develop a new automatically-computable test for super exogeneity, using a variant of general-to-specific modeling.  Based on the recent developments of impulse saturation applied to marginal models under the null that no impulses matter, we select the significant impulses for testing in the...