Yes, I think this is a significant concern with this version of the model (somewhat less so with the original cruder version using something like medians, but that version also fails to pick up on legitimate effects of “what if these variables are all in the tails”). Combining the variables as you suggest is the easiest way to patch it. More complex would be to add in explicit time-dependency.
Yes, I think this is a significant concern with this version of the model (somewhat less so with the original cruder version using something like medians, but that version also fails to pick up on legitimate effects of “what if these variables are all in the tails”). Combining the variables as you suggest is the easiest way to patch it. More complex would be to add in explicit time-dependency.