Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order

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

Research output: Contribution to journalJournal articleResearchpeer-review

10 Citations (Scopus)
Original languageEnglish
JournalEconometric Theory
Pages (from-to)1-34
ISSN0266-4666
DOIs
Publication statusPublished - 2016

Cite this