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Persistent link: https://www.econbiz.de/10008518838
In this paper a bootstrap algorithm for a reduced rank vector autoregressive model with a restricted linear trend and independent, identically distributed errors is analyzed. For testing the cointegration rank, the asymptotic distribution under the hypothesis is the same as for the usual...
Persistent link: https://www.econbiz.de/10005702285
Persistent link: https://www.econbiz.de/10011026270