Efficient two-step estimation via targeting

Published 2017 View Full Article

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Title
Efficient two-step estimation via targeting
Authors
Keywords
Targeting, Penalization, Multivariate time series models, Asset pricing
Journal
JOURNAL OF ECONOMETRICS
Volume 201, Issue 2, Pages 212-227
Publisher
Elsevier BV
Online
2017-08-19
DOI
10.1016/j.jeconom.2017.08.004

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