An example of multiple minima in a Cochrane-Orcutt procedure with multiple autocorrelation |
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Authors: | Robert Lafrance Michel Bélanger |
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Affiliation: | Université de Montréal, Montréal, Canada H3C 3J7 |
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Abstract: | We provide an example, based on an equation of the Canadian-US exchange rate, of multiple minima in a generalized Cochrane-Orcutt procedure. Our experiments suggest the need for search procedures in order to correctly identify autocorrelation structures. |
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