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To difference or not to difference: a Monte Carlo investigation of inference in vector autoregression models.
Richard Ashley
Randal J. Verbrugge
Published in:
Int. J. Data Anal. Tech. Strateg. (2009)
Keyphrases
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monte carlo
monte carlo simulation
markov chain monte carlo
importance sampling
monte carlo methods
markov chain
matrix inversion
simulation study
particle filter
model selection
point processes