Bootstrap Determination of the Co‐Integration Rank in VAR Models with Unrestricted Deterministic Components

DOI10.1111/jtsa.12104zbMath1326.62068OpenAlexW1942269851MaRDI QIDQ5251500

Anders Rahbek, A. M. Robert Taylor, Giuseppe Cavaliere

Publication date: 20 May 2015

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12104

zbMATH Keywords

bootstrapco-integrationrank determinationtrace statisticunrestricted constantunrestricted trend

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40)

Cites Work

• Testing for co-integration in vector autoregressions with non-stationary volatility
• Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models
• COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• SELECTING THE RANK OF THE COINTEGRATION SPACE AND THE FORM OF THE INTERCEPT USING AN INFORMATION CRITERION
• Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
• A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model