Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models (Q5080462)

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scientific article; zbMATH DE number 7534629
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Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models
scientific article; zbMATH DE number 7534629

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    Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models (English)
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    31 May 2022
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    bootstrap
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    co-integration
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    heteroskedasticity
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    rank determination
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    trace statistic
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