Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model

Yanqin Fan, Fang Han, Hyeonseok Park

Type: Article

Publication Date: 2023-09-06

Citations: 4

DOI: https://doi.org/10.1016/j.jeconom.2023.105513

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Journal of Econometrics - View

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