DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER

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

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items

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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