Cointegrating rank selection in models with time-varying variance
Year of publication: |
2012
|
---|---|
Authors: | Cheng, Xu ; Phillips, Peter C.B. |
Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 169.2012, 2, p. 155-165
|
Publisher: |
Elsevier |
Subject: | Cointegrating rank | Heterogeneity | Information criteria | Model selection | Time varying variances |
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