We modeled long memory with just one lag!

DOI10.1016/j.jeconom.2023.04.010MaRDI QIDQ6175544

Sébastien Laurent, Luc Bauwens, Guillaume Chevillon

Publication date: 18 August 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

ridge regressionforecastingBayesian estimationvector autoregressive model

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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