Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order
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KeywordsCointegration rank; Information criteria; Wild bootstrap; Trace statistic; Lag length; Heteroskedasticity;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2016-09-04 (All new papers)
- NEP-ECM-2016-09-04 (Econometrics)
- NEP-ETS-2016-09-04 (Econometric Time Series)
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