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Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions
Boswijk, H. Peter, (2013)
A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models
Cavaliere, Giuseppe, (2015)
Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models
Cavaliere, Giuseppe, (2014)