Adaptive estimation of vector autoregressive models with time-varying variance: Application to testing linear causality in mean

Published 2012 View Full Article

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Title
Adaptive estimation of vector autoregressive models with time-varying variance: Application to testing linear causality in mean
Authors
Keywords
-
Journal
JOURNAL OF STATISTICAL PLANNING AND INFERENCE
Volume 142, Issue 11, Pages 2891-2912
Publisher
Elsevier BV
Online
2012-04-14
DOI
10.1016/j.jspi.2012.04.005

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