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Refers to statistical complications or problems due to having few data. If your question is about a small sample relative to the number of variables, please use the [underdetermined] tag instead.

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VAR model for a short time series yields autocorrelated residuals

I am currently conducting an analysis on a small sample ($n=41$) first-difference VAR. The underlying data is only available in yearly terms so there is unfortunately no possibility to increase sample …
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