Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models
Year of publication: |
2012-08-31
|
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Authors: | Cavaliere, Giuseppe ; Rahbek, Anders ; Taylor, A.M. Robert |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Bootstrap | Co-integration | Trace statistic | Rank determination | heteroskedasticity |
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