Fast estimation of a large TVP-VAR model with score-driven volatilities
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Publication:6556130
DOI10.1016/J.JEDC.2023.104762MaRDI QIDQ6556130
Yongmiao Hong, Tingguo Zheng, Shiqi Ye
Publication date: 17 June 2024
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
smoothing estimationdynamic connectednessequation-by-equation estimatorlarge TVP-VAR modelscore-driven volatility
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