Inference on co-integration parameters in heteroskedastic vector autoregressions (Q5964751)
From MaRDI portal
scientific article; zbMATH DE number 6547755
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Inference on co-integration parameters in heteroskedastic vector autoregressions |
scientific article; zbMATH DE number 6547755 |
Statements
Inference on co-integration parameters in heteroskedastic vector autoregressions (English)
0 references
1 March 2016
0 references
co-integration
0 references
adjustment coefficients
0 references
(un)conditional heteroskedasticity
0 references
heteroskedasticity-robust inference
0 references
wild bootstrap
0 references
0 references
0 references
0 references
0 references
