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Detecting location shifts during model selection by step-indicator saturation
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Journal Article
Detecting location shifts during model selection by step-indicator saturation
2015
Overview
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.
Publisher
MDPI,MDPI AG
Subject
