A One Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models
Has this study been replicated?
The atlas records 1 reproduction of this study. Recorded outcomes: 1 mixed.
Reproductions
- A one covariate at a time, multiple testing approach to variable selection in high‐dimensional linear regression models: A replication in a narrow sense, Núñez & Otero (2021). Journal of Applied Econometrics. Outcome recorded: computationally reproducible, robustness not checked.
Computational: we find results that match closely those reported by these authors in their Monte Carlo simulations. In addition, we replicate exactly their findings in the empirical illustration
Read from Computational: abstract. View paper
Cite this record
Chudik, A., Kapetanios, G., & Pesaran, M. H. (2018). A One Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models. Econometrica, 86(4), 1479–1512. https://doi.org/10.3982/ecta14176
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