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Conjecture that working-model misspecification is less variable than direct estimation on the predictors
Let the error process satisfy … Consider the working model for $y_t$ and the corresponding estimation based on the residualized predictors $\mathbf{x}$ , including cases in which th…
Conjectureopenpenalized-regression serial-dependence time-seriesarXiv posted 2 days ago

Conjecture that working-model misspecification is less variable than direct estimation on the predictors