AR Filtering or Lag Controls? What the Frisch-Waugh-Lovell Theorem Really Says
When studying geopolitical risk, should we first filter GPR through an AR(12) model and use the residual as the shock, or should we enter current GPR and its…
When studying geopolitical risk, should we first filter GPR through an AR(12) model and use the residual as the shock, or should we enter current GPR and its…
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