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A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models
Cavaliere, Giuseppe; Angelis, Luca De; Rahbek, Anders; … - In: Oxford Bulletin of Economics and Statistics 77 (2015) 1, pp. 106-128
type="main" xml:id="obes12051-abs-0001" <title type="main">Abstract</title> <p>In this article, we investigate the behaviour of a number of methods for estimating the co-integration rank in VAR systems characterized by heteroskedastic innovation processes. In particular, we compare the efficacy of the most widely used...</p>
Persistent link: https://www.econbiz.de/10011202313
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A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models
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 characterized by heteroskedastic innovation processes. In particular we compare the efficacy of the most widely used information criteria, such as AIC and BIC, with the...
Persistent link: https://www.econbiz.de/10010903767
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A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models
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 characterized by heteroskedastic innovation processes. In particular we compare the efficacy of the most widely used information criteria, such as AIC and BIC, with the...
Persistent link: https://www.econbiz.de/10011228054