{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,29]],"date-time":"2026-08-29T01:59:30Z","timestamp":1787968770646,"version":"build-2784847793"},"reference-count":3,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2021,8,23]],"date-time":"2021-08-23T00:00:00Z","timestamp":1629676800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2021,9]]},"abstract":"<jats:title>Summary<\/jats:title><jats:p>Chudik, Kapetanios, &amp; Pesaran (Econometrica 2018, 86, 1479\u20101512) propose a one covariate at a time, multiple testing (OCMT) approach to variable selection in high\u2010dimensional linear regression models as an alternative approach to penalised regression. We offer a narrow replication of their key OCMT results based on the Stata software instead of the original MATLAB routines. Using the new user\u2010written Stata commands <jats:styled-content>baing<\/jats:styled-content> and <jats:styled-content>ocmt<\/jats:styled-content>, 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, which relate to top five variables with highest inclusion frequencies based on the OCMT selection method.<\/jats:p>","DOI":"10.1002\/jae.2850","type":"journal-article","created":{"date-parts":[[2021,7,17]],"date-time":"2021-07-17T18:05:09Z","timestamp":1626545109000},"page":"833-841","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":4,"title":["A one covariate at a time, multiple testing approach to variable selection in high\u2010dimensional linear regression models: A replication in a narrow sense"],"prefix":"10.1002","volume":"36","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-6668-2409","authenticated-orcid":false,"given":"H\u00e9ctor M.","family":"N\u00fa\u00f1ez","sequence":"first","affiliation":[{"name":"Department of Economics Centro de Investigaci\u00f3n y Docencia Econ\u00f3micas (CIDE)  Aguascalientes M\u00e9xico"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-2551-0053","authenticated-orcid":false,"given":"Jes\u00fas","family":"Otero","sequence":"additional","affiliation":[{"name":"Facultad de Econom\u00eda Universidad del Rosario  Bogot\u00e1 Colombia"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2021,8,23]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00273"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA14176"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102317351921"}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.2850","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/jae.2850","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.2850","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,28]],"date-time":"2023-08-28T07:35:05Z","timestamp":1693208105000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.2850"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2021,8,23]]},"references-count":3,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2021,9]]}},"alternative-id":["10.1002\/jae.2850"],"URL":"https:\/\/doi.org\/10.1002\/jae.2850","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[2021,8,23]]},"assertion":[{"value":"2020-07-17","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-01-06","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-08-23","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}