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  • Search: subject:"Robustness Procedures"
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AVAR 1 BACE 1 Robustness Procedures 1
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Book / Working Paper 1
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Undetermined 1
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Albis, Manuel Leonard F. 1 Mapa, Dennis S. 1
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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MPRA Paper 1
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Bayesian Averaging of Classical Estimates in Asymmetric Vector Autoregressive (AVAR) Models
Albis, Manuel Leonard F.; Mapa, Dennis S. - Volkswirtschaftliche Fakultät, … - 2014
The estimated Vector AutoRegressive (VAR) model is sensitive to model misspecifications, such as omitted variables, incorrect lag-length, and excluded moving average terms, which results in biased and inconsistent parameter estimates. Furthermore, the symmetric VAR model is more likely...
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