A very fast and simple algorithm for estimation of the parameters of large multivariate time series and distributed lag models is presented. An analysis of the distribution of the estimates shows that ...

Threshold models (sample splitting models) have wide application in economics. Existing estimation methods are confined to regression models, which require that all right-hand-side variables are ...

Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...