Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order

Giuseppe Cavaliere, Luca de Angelis, Anders Rahbek, A.M. Robert Taylor

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

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@article{0bd829a6e75e45c58b03a1401141606f,

title = "Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order",

author = "Giuseppe Cavaliere and {de Angelis}, Luca and Anders Rahbek and Taylor, {A.M. Robert}",

year = "2016",

doi = "10.1017/S0266466616000335",

language = "English",

pages = "1--34",

journal = "Econometric Theory",

issn = "0266-4666",

publisher = "Cambridge University Press",

}

TY - JOUR

T1 - Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order

AU - Cavaliere, Giuseppe

AU - de Angelis, Luca

AU - Rahbek, Anders

AU - Taylor, A.M. Robert

PY - 2016

Y1 - 2016

U2 - 10.1017/S0266466616000335

DO - 10.1017/S0266466616000335

M3 - Journal article

SN - 0266-4666

SP - 1

EP - 34

JO - Econometric Theory

JF - Econometric Theory

ER -