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Journal of Applied Econometrics
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Florian Huber
;
Gregor Kastner
;
Martin Feldkircher
Should I stay or should I go? A latent threshold approach to large‐scale mixt...
We propose a straightforward algorithm to estimate large Bayesian time-varying parameter vector autoregressions with mixture innovation components for each coefficient in the...
DOI:10.15456/jae.2022327.0710559230
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