Bootstrap and fast double bootstrap tests of cointegration rank with financial time series
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Computational Theory and Mathematics,Computational Mathematics,Statistics and Probability
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3. Identification of Common Factors in Multivariate Time Series Modeling;Revista Colombiana de Estadística;2015-02-10
4. Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates;Oxford Bulletin of Economics and Statistics;2015-01-21
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