DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER
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Publication:4637611
DOI10.1017/S0266466616000335zbMath1441.62228OpenAlexW2523387877MaRDI QIDQ4637611
Giuseppe Cavaliere, Anders Rahbek, Luca De Angelis, A. M. Robert Taylor
Publication date: 25 April 2018
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466616000335
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
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A unifying theory of tests of rank, Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models, Pre-selection in cointegration-based pairs trading, On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing, DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER
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