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Volumes:
25
Journals:
Journal of Applied Econometrics
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Miguel A. Juárez
;
Mark F. J. Steel
Non-Gaussian dynamic Bayesian modelling for panel data (replication data)
A first order autoregressive non-Gaussian model for analysing panel data is proposed. The main feature is that the model is able to accommodate fat tails and also skewness, thus...
DOI:10.15456/jae.2022320.0720611934
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