Bootstrap determination of the cointegration rank in heteroskedastic VAR models

Guiseppe Cavaliere, Anders Rahbæk, A.M. Robert Taylor

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@article{ae7c7f8b75d84af6b3de1626c5abb294,

title = "Bootstrap determination of the cointegration rank in heteroskedastic VAR models",

author = "Guiseppe Cavaliere and Anders Rahb{\ae}k and Taylor, {A.M. Robert}",

year = "2014",

doi = "10.1080/07474938.2013.825175",

language = "English",

volume = "33",

pages = "606--650",

journal = "Econometric Reviews",

issn = "0747-4938",

publisher = "Taylor & Francis Inc.",

number = "5-6",

}

TY - JOUR

T1 - Bootstrap determination of the cointegration rank in heteroskedastic VAR models

AU - Cavaliere, Guiseppe

AU - Rahbæk, Anders

AU - Taylor, A.M. Robert

PY - 2014

Y1 - 2014

U2 - 10.1080/07474938.2013.825175

DO - 10.1080/07474938.2013.825175

M3 - Journal article

SN - 0747-4938

VL - 33

SP - 606

EP - 650

JO - Econometric Reviews

JF - Econometric Reviews

IS - 5-6

ER -