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Multi-criteria optimization in regression

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Article number1
<mark>Journal publication date</mark>30/11/2021
<mark>Journal</mark>Annals of Operations Research
Issue number1-2
Number of pages19
Pages (from-to)7-25
Publication StatusPublished
Early online date19/03/21
<mark>Original language</mark>English


In this paper, we consider standard as well as instrumental variables regression. Specification problems related to autocorrelation, heteroskedasticity, neglected non-linearity, unsatisfactory out-of-small performance and endogeneity can be addressed in the context of multi-criteria optimization. The new technique performs well, it minimizes all these problems simultaneously, and eliminates them for the most part. Markov Chain Monte Carlo techniques are used to perform the computations. An empirical application to NASDAQ returns is provided.