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We discuss Bayesian inferential procedures within the family of instrumental variables regression models and focus on two issues: existence conditions for posterior moments of the parameters of interest under a flat prior and the potential of Direct Monte Carlo (DMC) approaches for efficient...
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This paper introduces a new procedure for clustering a large number of financial time series based on high-dimensional panel data with grouped factor structures. The proposed method attempts to capture the level of similarity of each of the time series based on sensitivity to observable risk...
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