Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models
Year of publication: |
2012
|
---|---|
Authors: | Cavaliere, Giuseppe ; Rahbek, Anders ; Taylor, A. M. Robert |
Published in: |
Econometrica. - Econometric Society. - Vol. 80.2012, 4, p. 1721-1740
|
Publisher: |
Econometric Society |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions
Boswijk, H. Peter, (2013)
-
Testing for co-integration in vector autoregressions with non-stationary volatility
Cavaliere, Giuseppe, (2008)
-
Bootstrap sequential determination of the co-integrated rank in VAR models
Cavaliere, Giuseppe, (2010)
- More ...