Inference in heavy-tailed vector error correction models
Year of publication: |
2020
|
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Authors: | She, Rui ; Ling, Shiqing |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 214.2020, 2, p. 433-450
|
Subject: | Cointegration | Full rank LSE | Heavy-tailed random vector | Reduced rank LSE | Kointegration | Schätztheorie | Estimation theory | Ranking-Verfahren | Ranking method | VAR-Modell | VAR model |
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