Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models-Reference-Cited by-同舟云学术

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

Published:2023-07-12 Issue:9-10 Volume:42 Page:725-757
ISSN:0747-4938
Container-title:Econometric Reviews
language:en
Short-container-title:Econometric Reviews

Author:

Peter Boswijk H.¹,Cavaliere Giuseppe²³^ORCID,De Angelis Luca²^ORCID,Taylor A. M. Robert⁴^ORCID

Affiliation:

1. Tinbergen Institute & Amsterdam School of Economics, University of Amsterdam, Amsterdam, Netherlands;

2. Department of Economics, University of Bologna, Bologna, Italy;

3. University of Exeter Business School, Exeter, UK;

4. Essex Business School University of Essex, Colchester, UK

Funder

Italian Ministry of University and Research

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

https://www.tandfonline.com/doi/pdf/10.1080/07474938.2023.2222633

Reference32 articles.

1. A new look at the statistical model identification

2. Multivariate Stochastic Volatility: A Review

3. Boswijk, H. P. (1995). Identifiability of cointegrated systems, Discussion Paper # 95-78. Tinbergen Institute.

4. Inference on co-integration parameters in heteroskedastic vector autoregressions

5. DYNAMIC SPECIFICATION AND COINTEGRATION*

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