Detecting common breaks in the means of high dimensional cross-dependent panels
Year of publication: |
2022
|
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Authors: | Horváth, Lajos ; Liu, Zhenya ; Rice, Gregory ; Zhao, Yuqian |
Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-423X, ZDB-ID 1475536-1. - Vol. 25.2022, 2, p. 362-383
|
Subject: | High dimensional panel | change points in mean | asymptotic limit | Monte Carlosimulation | FRED-MD macroeconomic data | Panel | Panel study | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Strukturbruch | Structural break |
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