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

Research output: Contribution to journalJournal articlepeer-review

Standard

Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models. / Cavaliere, Giuseppe ; Rahbek, Anders; Taylor, A. M. Robert .

In: Econometrica, Vol. 80, No. 4, 2012, p. 1721-1740.

Research output: Contribution to journalJournal articlepeer-review

Harvard

Cavaliere, G, Rahbek, A & Taylor, AMR 2012, 'Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models', Econometrica, vol. 80, no. 4, pp. 1721-1740. https://doi.org/10.3982/ECTA9099

APA

Cavaliere, G., Rahbek, A., & Taylor, A. M. R. (2012). Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models. Econometrica, 80(4), 1721-1740. https://doi.org/10.3982/ECTA9099

Vancouver

Cavaliere G, Rahbek A, Taylor AMR. Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models. Econometrica. 2012;80(4):1721-1740. https://doi.org/10.3982/ECTA9099

Author

Cavaliere, Giuseppe ; Rahbek, Anders ; Taylor, A. M. Robert . / Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models. In: Econometrica. 2012 ; Vol. 80, No. 4. pp. 1721-1740.

Bibtex

@article{fc3c4baa86a0498eb107b4c6f45dc435,
title = "Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models",
keywords = "Faculty of Social Sciences, Bootstrap, co-integration, trace statistic, rank determination",
author = "Giuseppe Cavaliere and Anders Rahbek and Taylor, {A. M. Robert}",
year = "2012",
doi = "10.3982/ECTA9099",
language = "English",
volume = "80",
pages = "1721--1740",
journal = "Econometrica",
issn = "0012-9682",
publisher = "Wiley-Blackwell",
number = "4",

}

RIS

TY - JOUR

T1 - Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models

AU - Cavaliere, Giuseppe

AU - Rahbek, Anders

AU - Taylor, A. M. Robert

PY - 2012

Y1 - 2012

KW - Faculty of Social Sciences

KW - Bootstrap

KW - co-integration

KW - trace statistic

KW - rank determination

U2 - 10.3982/ECTA9099

DO - 10.3982/ECTA9099

M3 - Journal article

VL - 80

SP - 1721

EP - 1740

JO - Econometrica

JF - Econometrica

SN - 0012-9682

IS - 4

ER -

ID: 43956453