Bootstrap determination of the co-integration rank in heteroskedastic var models
Guiseppe Cavaliere, Anders Rahbek, and A. M. Robert Taylor
| Year of publication: |
2014
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|---|---|
| Authors: | Cavaliere, Guiseppe ; Rahbek, Anders ; Taylor, Robert |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 33.2014, 5/6, p. 606-650
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| Subject: | Bootstrap | Co-integration | Heteroskedasticity | Rank determination | Trace statistic | Bootstrap-Verfahren | Bootstrap approach | Kointegration | Cointegration | Zeitreihenanalyse | Time series analysis | VAR-Modell | VAR model | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| 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/10010363896