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korobilis / SSVS_VAR

Code for the paper Korobilis, D. (2008). “Forecasting in Vector Autoregressions with Many Predictors”, Advances in Econometrics, 23, 403-431.

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Code for the paper Korobilis, D. (2008). “Forecasting in Vector Autoregressions with Many Predictors”, Advances in Econometrics, 23, 403-431.

License:GNU General Public License v3.0

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Language:MATLAB 100.0%