Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order

DOI10.1016/j.csda.2010.08.005zbMath1284.62051OpenAlexW2050448649MaRDI QIDQ2445809

Carsten Trenkler, Christian Kascha

Publication date: 14 April 2014

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11250/2497631

zbMATH Keywords

information criteriabootstrappingcointegration tests

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40)

Related Items (1)

DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER

Uses Software

• JMulTi

Cites Work

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