Dataset - ZBW Journal Data Archive

Arnaud Dufays
;
Zhuo Li
;
Jeroen V.K. Rombouts
;
Yong Song

Sparse change‐point VAR models (replication data)

Change-point (CP) VAR models face a dimensionality curse due to the proliferation of parameters that arises when new breaks are detected. We introduce the Sparse CP-VAR model...

DOI:10.15456/jae.2022327.0719921785
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