Determination of Long-run and Short-run Dynamics in EC-VARMA Models via Canonical Correlations
Author:
Affiliation:
1. Department of Econometrics and Business Statistics; Monash University; Melbourne Australia
2. BL Deakin Business School; Deakin University; Melbourne Australia
Funder
Australian Research Council
Publisher
Wiley
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Reference30 articles.
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5. Comparing predictive accuracy;Diebold;Journal of Business and Economic Statistics,1995
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