Automatic Inference For Infinite Order Vector Autoregressions
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"Heterogeneous Dynamics, Aggregation, And The Persistence Of Economic Shocks,"
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- Hwang, Eunju & Shin, Dong Wan, 2014. "Infinite-order, long-memory heterogeneous autoregressive models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 339-358.
- Jondeau, Eric & Pelgrin, Florian, 2014.
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- Laura Mayoral & María Dolores Gadea, 2009. "Analyzing aggregate real exchange rate persistence through the lens of sectoral data," Working Papers 399, Barcelona Graduate School of Economics.
- Kuersteiner, Guido M., 2012. "Kernel-weighted GMM estimators for linear time series models," Journal of Econometrics, Elsevier, vol. 170(2), pages 399-421.
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