Zobrazeno 1 - 10
of 21
pro vyhledávání: '"sequential rank determination"'
Publikováno v:
Guiseppe, C, Rahbæk, A & Taylor, A M R 2010 ' Bootstrap Sequential Determination of the Co-integration Rank in VAR Models ' Institut for Økonomi, Aarhus Universitet, Aarhus .
Cavaliere, G, Rahbek, A & Taylor, A M R 2010 ' Bootstrap Sequential Determination of the Co-integration Rank in VAR Models ' Department of Economics, University of Copenhagen .
Cavaliere, G, Rahbek, A & Taylor, A M R 2010 ' Bootstrap Sequential Determination of the Co-integration Rank in VAR Models ' Department of Economics, University of Copenhagen .
Determining the co-integrating rank of a system of variables has become afundamental aspect of applied research in macroeconomics and finance. It is wellknownthat standard asymptotic likelihood ratio tests for co-integration rankof Johansen (1996) ca
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::b94a22048cdc0c309f37325e4b03c4ac
https://pure.au.dk/portal/da/publications/bootstrap-sequential-determination-of-the-cointegration-rank-in-var-models(9266edd0-162e-11df-b95d-000ea68e967b).html
https://pure.au.dk/portal/da/publications/bootstrap-sequential-determination-of-the-cointegration-rank-in-var-models(9266edd0-162e-11df-b95d-000ea68e967b).html
Publikováno v:
University of Copenhagen
Determining the co-integrating rank of a system of variables has become a fundamental aspect of applied research in macroeconomics and finance. It is wellknown that standard asymptotic likelihood ratio tests for co-integration rank of Johansen (1996)
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d250bcc7e09aa5df4b459e3648b87f6b
https://doi.org/10.2139/ssrn.1551822
https://doi.org/10.2139/ssrn.1551822
Publikováno v:
Journal of Time Series Analysis. May2015, Vol. 36 Issue 3, p272-289. 18p.
Autor:
Cavaliere, Giuseppe1 (AUTHOR), Rahbek, Anders2 (AUTHOR), Robert Taylor, A.M.3 (AUTHOR) rtaylor@essex.ac.uk
Publikováno v:
Econometric Reviews. 2014, Vol. 33 Issue 5/6, p606-650. 45p.
Autor:
Peter Boswijk, H.1 (AUTHOR), Cavaliere, Giuseppe2,3 (AUTHOR), De Angelis, Luca2 (AUTHOR), Taylor, A. M. Robert4 (AUTHOR)
Publikováno v:
Econometric Reviews. 2023, Vol. 42 Issue 9/10, p725-757. 33p.
Publikováno v:
Econometrica; Jul2012, Vol. 80 Issue 4, p1721-1740, 20p
Autor:
Martins, Luis F.1 luis.martins@iscte.pt
Publikováno v:
Econometric Reviews. 2018, Vol. 37 Issue 5, p466-483. 18p.
Publikováno v:
Econometric Theory; Apr2018, Vol. 34 Issue 2, p349-382, 34p
Publikováno v:
Journal of Time Series Analysis. 36:272-289
In a recent paper, Cavaliere et al., 2012 develop bootstrap implementations of the popular likelihood-based co-integration rank tests and associated sequential rank determination procedures of Johansen 1996. By using estimates of the parameters of th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::de89cc9f663e70e0c60ca392656e804e
https://doi.org/10.1111/jtsa.12104
https://doi.org/10.1111/jtsa.12104
Publikováno v:
Cavaliere, G, Rahbæk, A & Taylor, A M R 2014, ' Bootstrap determination of the cointegration rank in heteroskedastic VAR models ', Econometric Reviews, vol. 33, no. 5-6, pp. 606-650 . https://doi.org/10.1080/07474938.2013.825175
University of Copenhagen
University of Copenhagen
In a recent paper Cavaliere et al. (2012) develop bootstrap implementations of the (pseudo-) likelihood ratio (PLR) co-integration rank test and associated sequential rank determination procedure of Johansen (1996). The bootstrap samples are construc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f308e25a6ee1fe1441cf4867bb787618
https://pure.au.dk/portal/da/publications/bootstrap-determination-of-the-cointegration-rank-in-heteroskedastic-var-models(ae7c7f8b-75d8-4af6-b3de-1626c5abb294).html
https://pure.au.dk/portal/da/publications/bootstrap-determination-of-the-cointegration-rank-in-heteroskedastic-var-models(ae7c7f8b-75d8-4af6-b3de-1626c5abb294).html