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Persistent link: https://www.econbiz.de/10001524814
We develop novel multivariate time series models using Bayesian additive regression trees that posit nonlinear relationships among macroeconomic variables, their lags, and possibly the lags of the errors. The variance of the errors can be stable, driven by stochastic volatility (SV), or follow a...
Persistent link: https://www.econbiz.de/10013238045