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A simple framework for analysing bull and bear markets (replication data)
Bull and bear markets are a common way of describing cycles in equity prices. To fully describe such cycles one would need to know the data generating process (DGP) for equity... -
Computation and analysis of multiple structural change models (replication data)
In a recent paper, Bai and Perron (1998) considered theoretical issues related to the limiting distribution of estimators and test statistics in the linear model with multiple...
