A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models
Giuseppe Cavaliere, Luca De Angelis, Anders Rahbek and A. M. Robert Taylor
| Year of publication: |
2015
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|---|---|
| Authors: | Cavaliere, Giuseppe ; De Angelis, Luca ; Rahbek, Anders ; Taylor, Robert |
| Published in: |
Oxford bulletin of economics and statistics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 0305-9049, ZDB-ID 215159-5. - Vol. 77.2015, 1, p. 106-128
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| Subject: | Kointegration | Cointegration | VAR-Modell | VAR model | Heteroskedastizität | Heteroscedasticity |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011373619