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The authors point out that autocorrelation is an accidental statistical phenomenon. The cause of the occurrence of … collinearity is the incomplete data base and that ideally, the elimination of the occurrence of autocorrelation is achieved by … proportional distribution of autocorrelation with the proportion of simple determinations, following the next six steps, the last …
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This paper extends the family of smooth transition autoregressive (STAR) models by proposing a speci.cation in which the autoregressive parameters follow random walks. The random walks in the parameters capture permanent structural change within a regime switching framework, but in contrast to...
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