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Keywords:high-dimensionality 

Working Paper
Variable Selection and Forecasting in High Dimensional Linear Regressions with Structural Breaks

This paper is concerned with the problem of variable selection and forecasting in the presence of parameter instability. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows and exponential down-weighting. However, these studies start with a given model specification and do not consider the problem of variable selection, which is complicated by time variations in the effects of signal variables. In this study we investigate whether or not we should use weighted observations at the variable selection stage in the presence of ...
Globalization Institute Working Papers , Paper 394

Working Paper
Variable Selection and Forecasting in High Dimensional Linear Regressions with Structural Breaks

This paper is concerned with the problem of variable selection and forecasting in the presence of parameter instability. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or exponential down-weighting. However, these studies start with a given model specification and do not consider the problem of variable selection. It is clear that, in the absence of breaks, researchers should weigh the observations equally at both the variable selection and forecasting stages. In this study, we investigate whether or not we should use ...
Globalization Institute Working Papers , Paper 394

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