Co-integration Rank Testing under Conditional Heteroskedasticity
Year of publication: |
2009-05-28
|
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Authors: | Cavaliere, Giuseppe ; Rahbek, Anders ; Taylor, A.M. Robert |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Co-integration | trace and maximum eigenvalue rank tests | conditional heteroskedasticity | i.i.d. bootstrap | wild bootstrap |
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