Cavaliere, Giuseppe; Angelis, Luca De; Rahbek, Anders; … - Dipartimento di Scienze Statistiche "Paolo Fortunati", … - 2013
In this paper 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 information criteria, such as AIC and BIC, with the...
