Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models
By Giuseppe Cavaliere, Anders Rahbek, Alan M. Taylor. 2012
103 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/5cb37d44d2679712ce1c048129272d0ea8de211f
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Giuseppe Cavaliere
- Alan M. Taylor
- Anders Rahbek
- A. Onatski
- Chen Wang
- Markus Pelger
- S. Freyaldenhoven
- Alexander Aue
In Finance
- Giuseppe Cavaliere
- Alan M. Taylor
- Anders Rahbek
- A. Onatski
- Chen Wang
- S. Freyaldenhoven
- Alexander Aue
- Hélène Rey
Citations in the corpus
- Testing for Granger Causality in Large Mixed-Frequency VARs (2016, unknown): “As an example, let us explicitly write a VAR(1) as .”
- Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models (2014, methodology): “In this paper we have discussed the bootstrap implementations of the pseudo likelihood ratio cointegration rank test and associated sequential procedure of Johansen (1996) that have recently been proposed in Cavaliere et al. (2012).”
- Alternative asymptotics for cointegration tests in large VARs (2016, methodology): “Our own very preliminary analysis indicates that the currently available non-parametric bootstrap procedures (see, for example, Cavaliere, Rahbek, and Taylor (2012)) do not work well for p/T as large as, say, 1/3.”