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Detecting common breaks in the means of high dimensional cross-dependent panels

Horvath, Lajos and Liu, Zhenya and Rice, Gregory and Zhao, Yuqian (2022) Detecting common breaks in the means of high dimensional cross-dependent panels. The Econometrics Journal, 25 (2). pp. 362-383. DOI https://doi.org/10.1093/ectj/utab028



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