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Tail dependence models for distributions attracted to a max-stable law are fitted using observations above a high threshold. To cope with spatial, high-dimensional data, a rank based M-estimator is proposed relying on bivariate margins only. A data-driven weight matrix is used to minimize the...
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Taking a Bayesian perspective on model uncertainty for static panel data models proposed in the spatial econometrics literature considerably simplifies the task of selecting an appropriate model. A wide variety of alternative specifications that include various combinations spatial dependence in...
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