Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models

DOI10.1111/j.1468-0262.2006.00723.xzbMath1187.62148OpenAlexW2148655389MaRDI QIDQ5307838

Anders Rygh Swensen

Publication date: 18 September 2007

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/10328

zbMATH Keywords

bootstraplikelihood ratio testreduced rankvector autoregressive (VAR) modelsdetermination of rank

Mathematics Subject Classification ID

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