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Cointegration rank testing under conditional heteroskedasticity
Giuseppe Cavaliere,
Anders Christian Rahbek
, Robert M. Taylor
Department of Economics
47
Citations (Scopus)
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Dive into the research topics of 'Cointegration rank testing under conditional heteroskedasticity'. Together they form a unique fingerprint.
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Keyphrases
Asymptotic Critical Values
25%
Asymptotic null Distribution
25%
Bootstrap
25%
Cointegrated Vector Autoregressive Model
25%
Cointegrating Rank
50%
Cointegration Rank
100%
Conditional Heteroskedasticity
100%
Covariance
25%
Distributed Bootstrap
75%
First-order Asymptotics
25%
Heteroscedastic
50%
Heteroscedasticity
25%
Identically Distributed
100%
Innovation Process
25%
Likelihood-free Inference
25%
Limiting null Distribution
25%
Martingale Difference
50%
Rank Statistics
75%
Rank Test
100%
Rank Testing
100%
Shock
25%
Term Structure of Interest Rates
25%
Wild Bootstrap
75%
Mathematics
Asymptotics
50%
Autoregressive Model
25%
Cointegration
100%
Conditionals
100%
Covariance
25%
Gaussian Distribution
25%
Null
50%
Rank Statistic
75%
Rank Test
100%
Replicate
25%
Term Structure
25%
Economics, Econometrics and Finance
Conditional Heteroskedasticity
100%