Cavaliere, Giuseppe; Angelis, Luca De; Rahbek, Anders; … - Dipartimento di Scienze Statistiche "Paolo Fortunati", … - 2013
In this paper we investigate the behaviour of a number of methods for estimating the co-integration rank in VAR systems … deliver the best overall performance in terms of their frequency of selecting the correct co-integration rank across different … values of the co-integration rank, sample size, stationary dynamics and models of heteroskedasticity. Of these the wild …