Cavaliere, Giuseppe; Angelis, Luca De; Rahbek, Anders; … - In: Oxford Bulletin of Economics and Statistics 77 (2015) 1, pp. 106-128
type="main" xml:id="obes12051-abs-0001" <title type="main">Abstract</title> <p>In this article, we investigate the behaviour of a number of methods for estimating the co-integration rank in VAR systems characterized by heteroskedastic innovation processes. In particular, we compare the efficacy of the most widely used...</p>