Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order
Research output: Contribution to journal › Journal article › Research › peer-review
Standard
Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order. / Cavaliere, Giuseppe; de Angelis, Luca ; Rahbek, Anders; Taylor, A.M. Robert.
In: Econometric Theory, 2016, p. 1-34.Research output: Contribution to journal › Journal article › Research › peer-review
Harvard
Cavaliere, G, de Angelis, L, Rahbek, A & Taylor, AMR 2016, 'Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order', Econometric Theory, pp. 1-34. https://doi.org/10.1017/S0266466616000335
APA
Cavaliere, G., de Angelis, L., Rahbek, A., & Taylor, A. M. R. (2016). Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order. Econometric Theory, 1-34. https://doi.org/10.1017/S0266466616000335
Vancouver
Cavaliere G, de Angelis L, Rahbek A, Taylor AMR. Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order. Econometric Theory. 2016;1-34. https://doi.org/10.1017/S0266466616000335
Author
Bibtex
@article{0bd829a6e75e45c58b03a1401141606f,
title = "Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order",
author = "Giuseppe Cavaliere and {de Angelis}, Luca and Anders Rahbek and Taylor, {A.M. Robert}",
year = "2016",
doi = "10.1017/S0266466616000335",
language = "English",
pages = "1--34",
journal = "Econometric Theory",
issn = "0266-4666",
publisher = "Cambridge University Press",
}
RIS
TY - JOUR
T1 - Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order
AU - Cavaliere, Giuseppe
AU - de Angelis, Luca
AU - Rahbek, Anders
AU - Taylor, A.M. Robert
PY - 2016
Y1 - 2016
U2 - 10.1017/S0266466616000335
DO - 10.1017/S0266466616000335
M3 - Journal article
SP - 1
EP - 34
JO - Econometric Theory
JF - Econometric Theory
SN - 0266-4666
ER -
ID: 166165276