Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models
نویسندگان
چکیده
منابع مشابه
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models
Determining the co-integrating rank of a system of variables has become a fundamental aspect of applied research in macroeconomics and nance. It is wellknown that standard asymptotic likelihood ratio tests for co-integration rank of Johansen (1996) can be unreliable in small samples with empirical rejection frequencies often very much in excess of the nominal level. As a consequence, bootstrap ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2141220