OCMT: Stata module to perform multiple testing approach in high-dimensional linear regression

Héctor M. Núñez () and Jesus Otero
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Héctor M. Núñez: Centro de Investigación y Docencia Económicas (CIDE)

Statistical Software Components from Boston College Department of Economics

Abstract: ocmt implements "A One Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models" based on Chudik, Kapetanios and Pesaran (Econometrica, 2018).

Language: Stata
Requires: Stata version 14
Keywords: variable selection; multiple testing; high-dimensional regression; Chudik; Kapetanios; Pesaran (search for similar items in EconPapers)
Date: 2020-10-07, Revised 2023-03-04
Note: This module should be installed from within Stata by typing "ssc install ocmt". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/o/ocmt.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/o/ocmt.sthlp help file (text/plain)

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