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Ahmad et al., 2024 - Google Patents

Unit roots in macroeconomic time series: a comparison of classical, Bayesian and machine learning approaches

Ahmad et al., 2024

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Document ID
18108668864521947897
Author
Ahmad Y
Check A
Lo M
Publication year
Publication venue
Computational Economics

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Snippet

We compare the effectiveness of Classical, Bayesian, and Machine Learning (ML) methods for predicting the presence of a unit root in univariate time-series models. Framing the issue as a classification problem, we demonstrate how ML may be used to uncover structural …
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