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korobilis
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BCVAR
Code that replicates the Bayesian Compressed Vector Autoregressive (BCVAR) model in Koop, G., Korobilis, D. and Pettenuzzo, D. (2019). “Bayesian Compressed Vector Autoregressions”, Journal of Econometrics, 210, 135-154.
GNU General Public License v3.0
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#1
caisikai
opened
3 years ago
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