Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions

Publikation: Working paper › Forskning

Standard

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

Kbh : Økonomisk institut, Københavns Universitet, 2013.

Publikation: Working paper › Forskning

Harvard

Boswijk, HP, Cavaliere, G, Rahbek, A & Taylor, AMR 2013 'Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions' Økonomisk institut, Københavns Universitet, Kbh. <https://www.econ.ku.dk/english/research/publications/wp/dp_2013/1313.pdf/>

APA

Boswijk, H. P., Cavaliere, G., Rahbek, A., & Taylor, A. M. R. (2013). Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions. Økonomisk institut, Københavns Universitet. University of Copenhagen. Institute of Economics. Discussion Papers Nr. 13 https://www.econ.ku.dk/english/research/publications/wp/dp_2013/1313.pdf/

Vancouver

Boswijk HP, Cavaliere G, Rahbek A, Taylor AMR. Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions. Kbh: Økonomisk institut, Københavns Universitet. 2013.

Author

Boswijk, H. Peter ; Cavaliere, Giuseppe ; Rahbek, Anders ; Taylor, A.M. Robert. / Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions. Kbh : Økonomisk institut, Københavns Universitet, 2013. (University of Copenhagen. Institute of Economics. Discussion Papers; Nr. 13).

Bibtex

@techreport{bac316a462f44473a5dfefb36a17577a,
title = "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions",
keywords = "Faculty of Social Sciences, Co-integration, adjustment coefficients, (un)conditional heteroskedasticity, heteroskedasticity-robust inference, wild bootstrap",
author = "Boswijk, {H. Peter} and Giuseppe Cavaliere and Anders Rahbek and Taylor, {A.M. Robert}",
note = "J.E.L. Classi cations: C30, C32.",
year = "2013",
language = "English",
series = "University of Copenhagen. Institute of Economics. Discussion Papers",
publisher = "{\O}konomisk institut, K{\o}benhavns Universitet",
number = "13",
type = "WorkingPaper",
institution = "{\O}konomisk institut, K{\o}benhavns Universitet",

}

RIS

TY - UNPB

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

AU - Boswijk, H. Peter

AU - Cavaliere, Giuseppe

AU - Rahbek, Anders

AU - Taylor, A.M. Robert

N1 - J.E.L. Classications: C30, C32.

PY - 2013

Y1 - 2013

KW - Faculty of Social Sciences

KW - Co-integration

KW - adjustment coefficients

KW - (un)conditional heteroskedasticity

KW - heteroskedasticity-robust inference

KW - wild bootstrap

M3 - Working paper

T3 - University of Copenhagen. Institute of Economics. Discussion Papers

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

PB - Økonomisk institut, Københavns Universitet

CY - Kbh

ER -

ID: 85247586