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  • Search: subject:"Recursive Monte Carlo experiments"
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Adjustment coefficients 1 Cointegrated vector autoregressive systems 1 Cointegration 1 Estimation theory 1 Kointegration 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Recursive Monte Carlo experiments 1 Schätztheorie 1 Sensitivity 1 Simulation 1 Spurious time-varying parameters 1 Structural break 1 Structural breaks 1 Strukturbruch 1 Time series analysis 1 VAR model 1 VAR-Modell 1 Zeitreihenanalyse 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1
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Kurita, Takamitsu 1
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Journal of quantitative economics 1
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A recursive Monte Carlo study of structural-break sensitivity of adjustment coefficients in cointegrated VAR systems
Kurita, Takamitsu - In: Journal of quantitative economics 17 (2019) 2, pp. 251-270
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