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• W2006757773 abstract "To capture location shifts in the context of model selection, we propose selecting significant step indicators from a saturating set added to the union of all of the candidate variables. The null retention frequency and approximate non-centrality of a selection test are derived using a ‘split-half’ analysis, the simplest specialization of a multiple-path block-search algorithm. Monte Carlo simulations, extended to sequential reduction, confirm the accuracy of nominal significance levels under the null and show retentions when location shifts occur, improving the non-null retention frequency compared to the corresponding impulse-indicator saturation (IIS)-based method and the lasso." @default.
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• W2006757773 date "2015-04-14" @default.
• W2006757773 modified "2023-09-25" @default.
• W2006757773 title "Detecting Location Shifts during Model Selection by Step-Indicator Saturation" @default.
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• W2006757773 doi "https://doi.org/10.3390/econometrics3020240" @default.
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