Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models

Adaptive Testing for Cointegration with Nonstationary Volatility

(2021) H. Peter Boswijk et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

A WILD BOOTSTRAP FOR DEPENDENT DATA

(2021) Ulrich Hounyo   ECONOMETRIC THEORY

Inference on co-integration parameters in heteroskedastic vector autoregressions

(2016) H. Peter Boswijk et al.   JOURNAL OF ECONOMETRICS

DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER

(2016) Giuseppe Cavaliere et al.   ECONOMETRIC THEORY

A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models

(2015) Giuseppe Cavaliere et al.   OXFORD BULLETIN OF ECONOMICS AND STATISTICS

Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models

(2013) Giuseppe Cavaliere et al.   Econometric Reviews

Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models

(2012)   ECONOMETRICA

Adaptive estimation of vector autoregressive models with time-varying variance: Application to testing linear causality in mean

(2012) Valentin Patilea et al.   JOURNAL OF STATISTICAL PLANNING AND INFERENCE

Testing for co-integration in vector autoregressions with non-stationary volatility

(2010) Giuseppe Cavaliere et al.   JOURNAL OF ECONOMETRICS

FINITE-SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION

(2010) Yin-Wong Cheung et al.   OXFORD BULLETIN OF ECONOMICS AND STATISTICS

Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility

(2009) Michael McAleer et al.   Econometric Reviews

Realized Volatility: A Review

(2008) Michael McAleer et al.   Econometric Reviews

Adaptive estimation of autoregressive models with time-varying variances

(2007) Ke-Li Xu et al.   JOURNAL OF ECONOMETRICS