Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions
Research output: Working paper › Research
Original language | English |
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Place of Publication | Kbh |
Publisher | Økonomisk institut, Københavns Universitet |
Number of pages | 51 |
Publication status | Published - 2013 |
Series | University of Copenhagen. Institute of Economics. Discussion Papers |
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Number | 13 |
ISSN | 0902-6452 |
Bibliographical note
J.E.L. Classications: C30, C32.
- Faculty of Social Sciences - Co-integration, adjustment coefficients, (un)conditional heteroskedasticity, heteroskedasticity-robust inference, wild bootstrap
Research areas
ID: 85247586