Efficient Two-Step Estimation via Targeting
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More about this item
KeywordsTargeting; Penalization; Multivariate Time Series Models; Asset Pricing;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2016-04-30 (All new papers)
- NEP-ECM-2016-04-30 (Econometrics)
- NEP-ETS-2016-04-30 (Econometric Time Series)
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