Machine Learning Panel Data Regressions with Heavy-tailed Dependent Data: Theory and Application
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- Babii, Andrii & Ball, Ryan T. & Ghysels, Eric & Striaukas, Jonas, 2023. "Machine learning panel data regressions with heavy-tailed dependent data: Theory and application," Journal of Econometrics, Elsevier, vol. 237(2).
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This paper has been announced in the following NEP Reports:- NEP-BIG-2020-08-31 (Big Data)
- NEP-CMP-2020-08-31 (Computational Economics)
- NEP-ECM-2020-08-31 (Econometrics)
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