Priors for unit root models
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 75 (1996)
Issue (Month): 1 (November)
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Web page: http://www.elsevier.com/locate/jeconom
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Stock, James H & Watson, Mark W, 1988. "Variable Trends in Economic Time Series," Journal of Economic Perspectives, American Economic Association, vol. 2(3), pages 147-74, Summer.
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- DeJong, David N. & Whiteman, Charles H., 1991. "Reconsidering 'trends and random walks in macroeconomic time series'," Journal of Monetary Economics, Elsevier, vol. 28(2), pages 221-254, October.
- Villani, Mattias & Larsson, Rolf, 2004. "The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis," Working Paper Series 175, Sveriges Riksbank (Central Bank of Sweden).
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- William A. Brock & Steven N. Durlauf & Kenneth D. West, 2003. "Policy Evaluation in Uncertain Economic Environments," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 34(1), pages 235-322.
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- Kostas Triantafyllopoulos & Giovanni Montana, 2008.
"Dynamic modeling of mean-reverting spreads for statistical arbitrage,"
0808.1710, arXiv.org, revised May 2009.
- K. Triantafyllopoulos & G. Montana, 2011. "Dynamic modeling of mean-reverting spreads for statistical arbitrage," Computational Management Science, Springer, vol. 8(1), pages 23-49, April.
- Marek Jarocinski & Albert Marcet, 2011.
"Autoregressions in Small Samples, Priors about Observables and Initial Conditions,"
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- Jarociński, Marek & Marcet, Albert, 2010. "Autoregressions in small samples, priors about observables and initial conditions," Working Paper Series 1263, European Central Bank.
- Marek Jarocinski & Albert Marcet, 2013.
"Priors about Observables in Vector Autoregressions,"
684, Barcelona Graduate School of Economics.
- Marek Jarocinski & Albert Marcet, 2013. "Priors about Observables in Vector Autoregressions," UFAE and IAE Working Papers 929.13, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
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