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    • Sébastien Villemot's avatar
      Deterministic models: replace exogenous with lead/lags by auxiliary variables · 9bca65c7
      Sébastien Villemot authored
      This brings those models in line with stochastic models.
      
      However note that transformation is still not exactly the same on stochastic
      and deterministic models, because there is no need to take into account the
      Jensen inequality on the latter. In deterministic models, there is a one-to-one
      mapping between exogenous with lead/lags and auxiliaries, while in stochastic
      models, an auxiliary endo may correspond to a more complex nonlinear expression.
      9bca65c7
  20. 02 Nov, 2020 2 commits