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Recent developments in the aggregation of large cross section of linear time series processes provide a complete characterization of the link between the dynamic properties of the aggregate series and the shape and degree of heterogeneity of the coefficients of the micro time series (see Lippi...
Persistent link: https://www.econbiz.de/10005706754
This paper assesses the relative merits of panel time series models in forecasting sovereign default. It explores the … statistical- and economic-loss functions. Since sovereign debt states are rather persistent, it is important to compare the panel …
Persistent link: https://www.econbiz.de/10005537623