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A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models
Cavaliere, Giuseppe; De Angelis, Luca; Rahbek, Anders; … - In: Oxford bulletin of economics and statistics 77 (2015) 1, pp. 106-128
Persistent link: https://www.econbiz.de/10011373619
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Determining the cointegration rank in heteroskedastic VAR models of unknown order
Cavaliere, Giuseppe; De Angelis, Luca; Rahbek, Anders; … - In: Econometric theory 34 (2018) 2, pp. 349-382
Persistent link: https://www.econbiz.de/10011950959
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Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
Boswijk, Herman Peter; Cavaliere, Giuseppe; De Angelis, Luca - In: Econometric reviews 42 (2023) 9/10, pp. 725-757
Persistent link: https://www.econbiz.de/10014420355