Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions
Research output: Working paper › Research
| Original language | English |
|---|---|
| Place of Publication | Kbh |
| Publisher | Økonomisk institut, Københavns Universitet |
| Number of pages | 51 |
| Publication status | Published - 2013 |
| Series | University of Copenhagen. Institute of Economics. Discussion Papers |
|---|---|
| Number | 13 |
| ISSN | 0902-6452 |
Bibliographical note
J.E.L. Classications: C30, C32.
- Faculty of Social Sciences - Co-integration, adjustment coefficients, (un)conditional heteroskedasticity, heteroskedasticity-robust inference, wild bootstrap
Research areas
ID: 85247586