Bias-correction in vector autoregressive models: A simulation study
Year of publication: |
2014
|
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Authors: | Engsted, Tom ; Pedersen, Thomas Q. |
Published in: |
Econometrics. - Basel : MDPI, ISSN 2225-1146. - Vol. 2.2014, 1, p. 45-71
|
Publisher: |
Basel : MDPI |
Subject: | bias reduction | VAR model | analytical bias formula | bootstrap | iteration | Yule-Walker | non-stationary system | skewed and fat-tailed data |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.3390/econometrics2010045 [DOI] 781998123 [GVK] hdl:10419/103629 [Handle] |
Classification: | C13 - Estimation ; C32 - Time-Series Models |
Source: |
-
Bias-correction in vector autoregressive models: A simulation study
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Bias-correction in vector autoregressive models : a simulation study
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Bias-Correction in Vector Autoregressive Models: A Simulation Study
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