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Publication Year: 2021 Tags: relevant parameter change

  • Arnaud Dufays
    ;
    Zhuo Li
    ;
    Jeroen V.K. Rombouts
    ;
    Yong Song

    Sparse change‐point VAR models (replication data)

    Change-point (CP) VAR models face a dimensionality curse due to the proliferation of parameters that arises when new breaks are detected. We introduce the Sparse CP-VAR model...