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Autoregressive Models with Time-dependent Coefficients. A comparison between Several Approaches

Rajae Azrak and Guy Melard

No ECARES 2017-48, Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Keywords: Nonstationary process; time series; time dependent model; time varying model; locally statiionary processes (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2017-12
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