A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables
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Publication:738073
DOI10.1016/j.jeconom.2011.07.002zbMath1441.62882OpenAlexW1966004889MaRDI QIDQ738073
Publication date: 15 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.07.002
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)
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Cites Work
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