Bootstrap Sequential Determination of the Co-integration Rank in VAR Models

Keyphrases

• Cointegration Rank 100%
• VAR Model 100%
• Bootstrap 100%
• Sequence Determination 100%
• I(1) 66%
• Bootstrap Test 33%
• Macroeconomics 33%
• Sequential Algorithm 33%
• Nominal Level 33%
• Rank Estimation 33%
• Sequential Procedure 33%
• Ranking Method 33%
• Monte Carlo Simulation 33%
• Marginal Significance 33%
• Likelihood Ratio Test 33%
• Finite Sample 33%

Mathematics

• Cointegration 100%
• Monte Carlo 33%
• Probability Theory 33%
• Rank Estimation 33%
• Likelihood Ratio Test 33%
• significance level α 33%
• Nominal Level 33%
• Asymptotics 33%

Economics, Econometrics and Finance

• Finance 100%
• Macroeconomics 100%
• Monte Carlo Simulation 100%