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Publication Year:
2019
None:
3
Formats:
m
Gabriele Fiorentini
;
Enrique Sentana
Dynamic specification tests for dynamic factor models (replication data)
We derive computationally simple expressions for score tests of misspecification in parametric dynamic factor models using frequency domain techniques. We interpret those...
DOI:10.15456/jae.2022327.0708195141
TXT
m
