A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables
DOI10.1016/J.JECONOM.2011.07.002zbMATH Open1441.62882OpenAlexW1966004889MaRDI QIDQ738073FDOQ738073
Publication date: 15 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.07.002
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Cited In (6)
- A bootstrap causality test for covariance stationary processes
- Bootstrap Determination of the Co‐Integration Rank in VAR Models with Unrestricted Deterministic Components
- Stationary bootstrapping for cointegrating regressions
- Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes
- Bootstrap and fast double bootstrap tests of cointegration rank with financial time series
- Cointegration rank inference with stationary regressors in VAR models
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