Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models
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Publication:2859513
DOI10.3982/ECTA9099zbMath1274.62223OpenAlexW1912412005MaRDI QIDQ2859513
A. M. Robert Taylor, Giuseppe Cavaliere, Anders Rahbek
Publication date: 8 November 2013
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3982/ecta9099
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40) Monte Carlo methods (65C05) Statistical ranking and selection procedures (62F07)
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