DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER

Inference on co-integration parameters in heteroskedastic vector autoregressions

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

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 Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates

(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

Cointegrating rank selection in models with time-varying variance

(2012) Xu Cheng et al.   JOURNAL OF ECONOMETRICS

Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order

(2010) Christian Kascha et al.   COMPUTATIONAL STATISTICS & DATA ANALYSIS

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

(2010) Giuseppe Cavaliere et al.   JOURNAL OF ECONOMETRICS

COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY

(2010) Giuseppe Cavaliere et al.   ECONOMETRIC THEORY

Semiparametric cointegrating rank selection

(2009) Xu Cheng et al.   Econometrics Journal