Testing for co-integration in vector autoregressions with non-stationary volatility
type: Item
instance of: scholarly article
title: Testing for co-integration in vector autoregressions with non-stationary volatility
zbMATH Open document ID: 1431.62358
author: Giuseppe Cavaliere
author: A. M. Robert Taylor
author: Anders Rahbek
published in: Journal of Econometrics
publication date: 2016-08-04T00:00:00Z
full work available at URL: 0834.pdf
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62M07
Mathematics Subject Classification ID: 62G09
Mathematics Subject Classification ID: 62E20
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6609174
zbMATH Keywords: co-integration
zbMATH Keywords: non-stationary volatility
zbMATH Keywords: trace and maximum eigenvalue tests
zbMATH Keywords: wild bootstrap
MaRDI profile type: Publication
OpenAlex ID: W3123963018
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DOI: 10.1016/J.JECONOM.2010.03.003
description: scientific article; zbMATH DE number 6609174