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In a typical empirical modeling context, the data generating process (DGP) of a time series is assumed to be known up to a finite-dimensional parameter. In such cases, Rissanen's (1986) theorem provides a lower bound for the empirically achievable distance between all possible data-based models...
Persistent link: https://www.econbiz.de/10005464029
trends are more elusive to model than stationary processes in the sense that the proximity bounds are larger. By contrast …
Persistent link: https://www.econbiz.de/10004990687
aspects and implications of these exciting, emergent trends in econometrics. …
Persistent link: https://www.econbiz.de/10004990775
well as the number of regressors. Time trends are more costly than stochastic trends, which, in turn, are more costly than …
Persistent link: https://www.econbiz.de/10004990803