Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility
Year of publication: |
2008-09
|
---|---|
Authors: | Cavaliere, Giuseppe ; Rahbek, Anders ; Taylor, A. M. Robert |
Institutions: | Økonomisk Institut, Københavns Universitet |
Subject: | co-integration | non-stationary volatility | trace and maximum eigenvalue tests | wild bootstrap |
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