Bootstrap Sequential Determination of the Co-integration Rank in VAR Models
Year of publication: |
2010-02-01
|
---|---|
Authors: | Cavaliere, Guiseppe ; Rahbek, Anders ; Taylor, A.M. Robert |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Co-integration | trace test | sequential rank determination | i.i.d.bootstrap | wild bootstrap |
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