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-sectional (N) and time (T) dimensions and varying degrees of parameter heterogeneity. We investigate conditions under which panel …We develop novel forecasting methods for panel data with heterogeneous parameters and examine them together with … accuracy depend on the degree of parameter heterogeneity, whether heterogeneity is correlated with the regressors, the goodness …
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This paper introduces a new measure of dependence or jointness among explanatory variables. Jointness is based on the joint posterior distribution of variables over the model space, thereby taking model uncertainty into account. By looking beyond marginal measures of variable importance,...
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