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autoregressive (VAR) framework within the panel setting. In order to test the sensitivity of the results and avoid robust errors, we …
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This paper analyses three Granger noncausality hypotheses within a conditionally Gaussian MS-VAR model. Noncausality in …
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This paper proposes a new method for empirically validate simulation models that generate artificial time series data comparable with real-world data. The approach is based on comparing structures of vector autoregression models which are estimated from both artificial and real-world data by...
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Two different types of tests for the cointegrating rank of VAR processes with a deterministic shift in the level have …
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