Inference on co-integration parameters in heteroskedastic vector autoregressions
H. Peter Boswijk, Giuseppe Cavaliere, Anders Rahbek, A.M. Robert Taylor
| Year of publication: |
May 2016
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| Authors: | Boswijk, Herman Peter ; Cavaliere, Giuseppe ; Rahbek, Anders ; Taylor, Robert |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 192.2016, 1, p. 64-85
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| Subject: | Co-integration | Adjustment coefficients | (un)Conditional heteroskedasticity | Heteroskedasticity-robust inference | Wild bootstrap | Bootstrap-Verfahren | Bootstrap approach | Zeitreihenanalyse | Time series analysis | Kointegration | Cointegration | Volatilität | Volatility | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2015.07.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011615672