2 papers
econ.EM2024
Variable Selection in High Dimensional Linear Regressions with Parameter Instability
Alexander Chudik, M. Hashem Pesaran, Mahrad Sharifvaghefi
This paper considers the problem of variable selection allowing for parameter instability. It distinguishes between signal and pseudo-signal variables that are correlated with the…
econ.EM2024
Heterogeneous Autoregressions in Short T Panel Data Models
M. Hashem Pesaran, Liying Yang
This paper considers a first-order autoregressive panel data model with individual-specific effects and heterogeneous autoregressive coefficients defined on the interval (-1,1], th…