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Structural vector autoregressions with smooth transition in variances

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Predictive inference under model misspecification with an application to assessing the marginal predictive content of money for output

Armah, Nii Ayi (contributor); Swanson, Norman R. (contributor) - 2006

In this chapter we discuss model selection and predictive accuracy tests in the context of parameter and model uncertainty under recursive and rolling estimation schemes. We begin by summarizing some recent theoretical findings, with particular emphasis on the construction of valid bootstrap...