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Robust covariance matrix estimation with data-dependent VAR prewhitening order

Wouter J. den Haan and Andrew T. Levin
Year of publication:
2000
Authors: Den Haan, Wouter J. ; Levin, Andrew T.
Publisher: La Jolla, CA
Subject: Schätztheorie | Estimation theory | Core | VAR-Modell | VAR model | Theorie | Theory | Korrelation | Correlation
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