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Serial correlation, Cross-correlation, Heteroskedasticity, Martingale differences
Heteroskedasticity, KPSS test, Mean stability, Variance stability, VS test
Recent and ongoing structural change, forecast combination, robust forecasts
recent and ongoing structural change, forecast combination, robust forecasts
DSGE, structural change, kernel estimation, time-varying VAR, monetary policy shocks
large dimensional regression, sparse matrix, thresholding, shrinkage, model selection
Time varying estimation, random coefficient models
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Linear process, short memory, long memory, weighted sum
