Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions

Research output: Contribution to journal › Journal article › Research › peer-review

Standard

Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions. / Boswijk, H. Peter; Cavaliere, Giuseppe; Rahbek, Anders; Taylor, Robert.

In: Journal of Econometrics, Vol. 192, No. 1, 2016, p. 64-85.

Research output: Contribution to journal › Journal article › Research › peer-review

Harvard

Boswijk, HP, Cavaliere, G, Rahbek, A & Taylor, R 2016, 'Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions', Journal of Econometrics, vol. 192, no. 1, pp. 64-85. https://doi.org/10.1016/j.jeconom.2015.07.005

APA

Boswijk, H. P., Cavaliere, G., Rahbek, A., & Taylor, R. (2016). Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions. Journal of Econometrics, 192(1), 64-85. https://doi.org/10.1016/j.jeconom.2015.07.005

Vancouver

Boswijk HP, Cavaliere G, Rahbek A, Taylor R. Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions. Journal of Econometrics. 2016;192(1):64-85. https://doi.org/10.1016/j.jeconom.2015.07.005

Author

Boswijk, H. Peter ; Cavaliere, Giuseppe ; Rahbek, Anders ; Taylor, Robert. / Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions. In: Journal of Econometrics. 2016 ; Vol. 192, No. 1. pp. 64-85.

Bibtex

@article{347843eed5f14f08becc98a608dfc836,

title = "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions",

keywords = "Faculty of Social Sciences, C30, C32",

author = "Boswijk, {H. Peter} and Giuseppe Cavaliere and Anders Rahbek and Robert Taylor",

note = "JEL classification: C30; C32",

year = "2016",

doi = "10.1016/j.jeconom.2015.07.005",

language = "English",

volume = "192",

pages = "64--85",

journal = "Journal of Econometrics",

issn = "0304-4076",

publisher = "Elsevier",

number = "1",

}

RIS

TY - JOUR

T1 - Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions

AU - Boswijk, H. Peter

AU - Cavaliere, Giuseppe

AU - Rahbek, Anders

AU - Taylor, Robert

N1 - JEL classification: C30; C32

PY - 2016

Y1 - 2016

KW - Faculty of Social Sciences

KW - C30

KW - C32

U2 - 10.1016/j.jeconom.2015.07.005

DO - 10.1016/j.jeconom.2015.07.005

M3 - Journal article

VL - 192

SP - 64

EP - 85

JO - Journal of Econometrics

JF - Journal of Econometrics

SN - 0304-4076

IS - 1

ER -

ID: 142950541