Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models

DOI10.1080/07474938.2023.2222633arXiv2202.02532OpenAlexW4384029661MaRDI QIDQ6082960

A. M. Robert Taylor, H. Peter Boswijk, Giuseppe Cavaliere, Luca De Angelis

Publication date: 7 December 2023

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2202.02532

zbMATH Keywords

adaptive estimationinformation criteriaco-integration ranknon-stationary volatilityautoregressive lag length

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

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