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~isPartOf:"Tinbergen Institute Discussion Paper 2021-056/III"
~person:"Koopman, Siem Jan"
~person:"Lütkepohl, Helmut"
~subject:"Cointegration"
~subject:"Heteroscedasticity"
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Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors
Gorgi, Paolo
;
Koopman, Siem Jan
;
Schaumburg, Julia
-
2021
We introduce a new and
general
methodology for analyzing vector autoregressive models with time-varying coefficient …
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