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Time-varying model averaging?

Sun, YY; Hong, YM; Lee, TH; Wang, SY; Zhang, XY

Zhang, XY (corresponding author), Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China.

JOURNAL OF ECONOMETRICS, 2021; 222 (2): 974

Abstract

Structural changes often occur in economics and finance due to changes in preferences, technologies, institutional arrangements, policies, crises, etc......

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