Inference on co-integration parameters in heteroskedastic vector autoregressions (Q5964751)
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scientific article; zbMATH DE number 6547755
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| English | Inference on co-integration parameters in heteroskedastic vector autoregressions |
scientific article; zbMATH DE number 6547755 |
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Inference on co-integration parameters in heteroskedastic vector autoregressions (English)
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1 March 2016
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co-integration
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adjustment coefficients
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(un)conditional heteroskedasticity
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heteroskedasticity-robust inference
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wild bootstrap
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0.8711590766906738
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0.8501940965652466
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0.8365194201469421
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0.8330730199813843
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0.8328601121902466
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