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DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER (2016)

First Author: Cavaliere G

Attributed to: The Analysis of Non-stationary Time Series in Economics and Finance: Co-integration, Trend Breaks, and Mixed Frequency Data funded by ESRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1017/s0266466616000335

Publication URI: http://dx.doi.org/10.1017/s0266466616000335

Type: Journal Article/Review

Parent Publication: Econometric Theory

Issue: 2