Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions
Research output: Contribution to journal › Journal article › Research › peer-review
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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
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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