Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions
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Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions. / Boswijk, H. Peter ; Cavaliere, Giuseppe ; Rahbek, Anders; Taylor, A.M. Robert.
Kbh : Økonomisk institut, Københavns Universitet, 2013.Research output: Working paper › Research
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TY - UNPB
T1 - Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions
AU - Boswijk, H. Peter
AU - Cavaliere, Giuseppe
AU - Rahbek, Anders
AU - Taylor, A.M. Robert
N1 - J.E.L. Classications: C30, C32.
PY - 2013
Y1 - 2013
KW - Faculty of Social Sciences
KW - Co-integration
KW - adjustment coefficients
KW - (un)conditional heteroskedasticity
KW - heteroskedasticity-robust inference
KW - wild bootstrap
M3 - Working paper
T3 - University of Copenhagen. Institute of Economics. Discussion Papers
BT - Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions
PB - Økonomisk institut, Københavns Universitet
CY - Kbh
ER -
ID: 85247586