Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models (Q5080462)
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scientific article; zbMATH DE number 7534629
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models |
scientific article; zbMATH DE number 7534629 |
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Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models (English)
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31 May 2022
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bootstrap
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co-integration
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heteroskedasticity
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rank determination
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trace statistic
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