Inference in heavy-tailed vector error correction models

Published 2019 View Full Article

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Title
Inference in heavy-tailed vector error correction models
Authors
Keywords
Full rank LSE, Cointegration, Heavy-tailed random vector, Reduced rank LSE
Journal
JOURNAL OF ECONOMETRICS
Volume -, Issue -, Pages -
Publisher
Elsevier BV
Online
2019-09-04
DOI
10.1016/j.jeconom.2019.03.008

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