A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models-Reference-Cited by-同舟云学术

A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models

Published:2015-01-06 Issue:1 Volume:77 Page:106-128
ISSN:0305-9049
Container-title:Oxford Bulletin of Economics and Statistics
language:en
Short-container-title:Oxf Bull Econ Stat

Author:

Cavaliere Giuseppe¹,Angelis Luca De¹,Rahbek Anders²,Robert Taylor A. M.³

Affiliation:

1. Department of Statistical Sciences; University of Bologna; Via Belle Arti, 41 40124 Bologna Italy

2. Department of Economics; University of Copenhagen; Øster Farimagsgade 5, Building 26, 1353 Copenhagen K Denmark

3. Essex Business School; University of Essex; Colchester CO4 3SQ UK

Funder

Danish Council for Independent Research

Publisher

Wiley

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/obes.12051/fullpdf

Reference27 articles.

1. A new look at the statistical model identification;Akaike;IEEE Transactions on Automatic Control,1974

2. Selecting the rank of the cointegration space and the form of the intercept using an information criterion;Aznar;Econometric Theory,2002

3. Testing for cointegrating rank via model selection: evidence from 165 data sets;Baltagi;Empirical Economics,2007

4. Mixing and moment properties of various Garch and stochastic volatility models;Carrasco;Econometric Reviews,2002

5. Cavaliere , G. De Angelis , L. Rahbek , A. Taylor , A. M. R. 2013 A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models Quaderni di Dipartimento Serie Ricerche 2013/4, Department of Statistical Sciences

Cited by 15 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Intelligent Backhaul Link Selection for Traffic Offloading in B5G Networks;IEEE Access;2024

2. A Probabilistic Framework for Missing Value Estimation in Multivariate IoT Data During Reefer Container Monitoring;IEEE Transactions on Industrial Informatics;2024

3. The vector error correction index model: representation, estimation and identification;The Econometrics Journal;2023-10-23

4. Protecting river eco-hydrological processes: insights from water temperature studies;Aquatic Sciences;2023-09-26

5. Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models;Econometric Reviews;2023-07-12