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20152022
most citedSpecification tests for normal/gamma and stable/gamma stochastic frontier models based on empirical transforms

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econ.EM2019

Bayesian estimation of large dimensional time varying VARs using copulas

Mike Tsionas, Marwan Izzeldin, Lorenzo Trapani

This paper provides a simple, yet reliable, alternative to the (Bayesian) estimation of large multivariate VARs with time variation in the conditional mean equations and/or in the…