Determining the cointegration rank in heteroskedastic VAR models of unknown order
Giuseppe Cavaliere and Luca De Angelis, Anders Rahbek, A. M. Robert Taylor
| Year of publication: |
April 2018
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| Authors: | Cavaliere, Giuseppe ; De Angelis, Luca ; Rahbek, Anders ; Taylor, Robert |
| Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 0266-4666, ZDB-ID 901661-2. - Vol. 34.2018, 2, p. 349-382
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| Subject: | Kointegration | Cointegration | VAR-Modell | VAR model | Theorie | Theory | Heteroskedastizität | Heteroscedasticity | Ranking-Verfahren | Ranking method |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/S0266466616000335 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011950959