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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| English | Bootstrap determination of the co-integration rank in heteroskedastic VAR models |
scientific article; zbMATH DE number 7534629 |
Statements
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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0.9087814688682556
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0.9000208377838135
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0.8865810036659241
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0.8596110939979553
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0.8588753342628479
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