Testing for co-integration in vector autoregressions with non-stationary volatility (Q736551)
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scientific article; zbMATH DE number 6609174
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| English | Testing for co-integration in vector autoregressions with non-stationary volatility |
scientific article; zbMATH DE number 6609174 |
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Testing for co-integration in vector autoregressions with non-stationary volatility (English)
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4 August 2016
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co-integration
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non-stationary volatility
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trace and maximum eigenvalue tests
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wild bootstrap
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0.8593907356262207
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0.8501940965652466
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0.830592155456543
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0.8199187517166138
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0.8164937496185303
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