Bootstrap determination of the co-integration rank in heteroskedastic var models

Guiseppe Cavaliere, Anders Rahbek, and A. M. Robert Taylor

Year of publication:	2014
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
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

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