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A high-dimensional multinomial logit model (replication data)
The number of parameters in a standard multinomial logit model increases linearly with the number of choice alternatives and number of explanatory variables. Since many modern... -
A one covariate at a time, multiple testing approach to variable selection in...
Chudik, Kapetanios, & Pesaran (Econometrica 2018, 86, 1479-1512) propose a one covariate at a time, multiple testing (OCMT) approach to variable selection in...
