jren-jane/vector-autoregression-estimation-and-tests jren-jane/vector-autoregression-estimation-and-tests

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  • Language
    MATLAB
  • Created about 4 years ago
  • Updated over 3 years ago
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jren-jane/vector-autoregression-estimation-and-tests
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jren-jane

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Repository Details

Estimation, break-point test and sample-split test for vector-autoregression models coded in Matlab, with bootstrap values and Monte-carlo simulations

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