Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
H. Peter Boswijk, Giuseppe Cavaliere, Luca De Angelis and A. M. Robert Taylor
| Year of publication: |
2023
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| Authors: | Boswijk, Herman Peter ; Cavaliere, Giuseppe ; De Angelis, Luca ; Taylor, Robert |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 1532-4168, ZDB-ID 2041746-9. - Vol. 42.2023, 9/10, p. 725-757
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| Subject: | adaptive estimation | autoregressive lag length | co-integration rank | information criteria | non-stationary volatility | Kointegration | Cointegration | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Heteroskedastizität | Heteroscedasticity | Volatilität | Volatility |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2023.2222633 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014420355