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Adaptive Hierarchical Priors for High-Dimensional Vector Autoregressions

Korobilis, Dimitris and Pettenuzzo, Davide (2019) Adaptive Hierarchical Priors for High-Dimensional Vector Autoregressions. Journal of Econometrics, 212 (1). pp. 241-271. DOI https://doi.org/10.1016/j.jeconom.2019.04.029



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Filename: 2018.03.27 HIERARCHICAL_VAR.pdf

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