Similar Search Results

Bootstrap sequential determination of the co-integration rank in VAR-models

Cavaliere, Giuseppe; Rahbek, Anders; Taylor, Robert - 2010

Persistent link: https://www.econbiz.de/10003932344

Testing for co-integration in vector autoregressions with non-stationary volatility

Cavaliere, Giuseppe; Rahbek, Anders; Taylor, Robert - In: Journal of econometrics 158 (2010) 1, pp. 7-24

Persistent link: https://www.econbiz.de/10008826880

A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models

Cavaliere, Giuseppe; De Angelis, Luca; Rahbek, Anders; … - In: Oxford bulletin of economics and statistics 77 (2015) 1, pp. 106-128

Persistent link: https://www.econbiz.de/10011373619

Bootstrap determination of the co-integration rank in vector autoregressive models

Cavaliere, Giuseppe; Rahbek, Anders; Taylor, Robert - In: Econometrica : journal of the Econometric Society, an … 80 (2012) 4, pp. 1721-1740

Persistent link: https://www.econbiz.de/10009629515

Determination of the number of common stochastic trends under conditional heteroskedasticity

Cavaliere, Giuseppe; Rahbek, Anders; Taylor, Robert - In: Estudios de economía aplicada : revista promovida por … 28 (2010) 3, pp. 519-551

Persistent link: https://www.econbiz.de/10009712288

Inference on co-integration parameters in heteroskedastic vector autoregressions

Boswijk, Herman Peter; Cavaliere, Giuseppe; Rahbek, Anders - 2013

It is well established that the shocks driving many key macro-economic and financial variables display time-varying volatility. In this paper we consider estimation and hypothesis testing on the coefficients of the co-integrating relations and the adjustment coefficients in vector...

Persistent link: https://www.econbiz.de/10010225789