Inference on co-integration parameters in heteroskedastic vector autoregressions

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Title
Inference on co-integration parameters in heteroskedastic vector autoregressions
Authors
Keywords
Co-integration, Adjustment coefficients, (un)Conditional heteroskedasticity, Heteroskedasticity-robust inference, Wild bootstrap
Journal
JOURNAL OF ECONOMETRICS
Volume 192, Issue 1, Pages 64-85
Publisher
Elsevier BV
Online
2015-12-13
DOI
10.1016/j.jeconom.2015.07.005

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