Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models

Giuseppe Cavaliere, Anders Rahbek, A. M. Robert Taylor

Research output: Contribution to journal › Journal article › Research › peer-review

55 Citations (Scopus)

Keywords

@article{fc3c4baa86a0498eb107b4c6f45dc435,

title = "Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models",

keywords = "Faculty of Social Sciences, Bootstrap, co-integration, trace statistic, rank determination",

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

year = "2012",

doi = "10.3982/ECTA9099",

language = "English",

volume = "80",

pages = "1721--1740",

journal = "Econometrica",

issn = "0012-9682",

publisher = "Wiley-Blackwell",

number = "4",

}

TY - JOUR

T1 - Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models

AU - Cavaliere, Giuseppe

AU - Rahbek, Anders

AU - Taylor, A. M. Robert

PY - 2012

Y1 - 2012

KW - Faculty of Social Sciences

KW - Bootstrap

KW - co-integration

KW - trace statistic

KW - rank determination

U2 - 10.3982/ECTA9099

DO - 10.3982/ECTA9099

M3 - Journal article

VL - 80

SP - 1721

EP - 1740

JO - Econometrica

JF - Econometrica

SN - 0012-9682

IS - 4

ER -