Testing for common autocorrelation in data-rich environments
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Publication:2997941
DOI10.1002/for.1186zbMath1211.91196MaRDI QIDQ2997941
Publication date: 10 May 2011
Published in: Journal of Forecasting (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/for.1186
partial least squares; reduced-rank regression; high-dimensional systems; serial correlation common feature
91B82: Statistical methods; economic indices and measures
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