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Prescot time series comovement table #6

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epogrebnyak opened this issue Nov 15, 2017 · 1 comment

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epogrebnyak commented Nov 15, 2017

Replicate correlations from Prescot artice, see https://github.com/epogrebnyak/cmf-comovement-tables.

epogrebnyak changed the title ~~Prescot comovement table~~ Prescot time series comovement table

Collaborator Author

epogrebnyak commented Feb 13, 2018

Our current progress is here: https://github.com/mini-kep/user-charts/blob/master/cases/hp-filter/hp_filter.ipynb

Basically, we filtered time series, but have not made covariances with lagged variables yet.

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