A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models
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- Giuseppe Cavaliere & Luca De Angelis & Anders Rahbek & A. M. Robert Taylor, 2015. "A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(1), pages 106-128, February.
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KeywordsCointegrazione; Wild bootstrap; Statistic traccia; Criteri di informazione; Determinazione rango; Eteroschedasticità. Co-integration; Wild bootstrap; Trace statistic; Information criteria; Rank determi- nation; Heteroskedasticity.;
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