Cointegrating rank selection in models with time-varying variance
type: Item
instance of: scholarly article
title: Cointegrating rank selection in models with time-varying variance
zbMATH Open document ID: 1443.62246
author: Xu Cheng
author: Peter C. B. Phillips
published in: Journal of Econometrics
publication date: 2017-05-12T00:00:00Z
full work available at URL: https://ink.library.smu.edu.sg/soe_research/1833
full work available at URL: S0304407612000322
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6714726
zbMATH Keywords: cointegrating rank
zbMATH Keywords: heterogeneity
zbMATH Keywords: information criteria
zbMATH Keywords: model selection
zbMATH Keywords: time varying variances
MaRDI profile type: Publication
OpenAlex ID: W3121292107
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DOI: 10.1016/J.JECONOM.2012.01.022
description: scientific article; zbMATH DE number 6714726