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 |