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time-varying parameters
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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