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This paper surveys recent developments in the evaluation of point forecasts. Taking West's (2006) survey as a starting …
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parameter vector are derived using the results developed by Fernandez-Villaverde et al. (2007), Christiano et al. (2006) and …
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This paper proposes a regularisation method for the estimation of large covariance matrices that uses insights from the multiple testing (MT) literature. The approach tests the statistical significance of individual pair-wise correlations and sets to zero those elements that are not...
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