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 journal › Journal article › Research › peer-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 -