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13-187/III - Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions


  • Authors
    H. Peter Boswijk, University of Amsterdam; Giuseppe Cavaliere, University of Bologna, Italy; Anders Rahbek, University of Copenhagen, Denmark, and CREATES; A. M. Robert Taylor, University of Essex, United Kingdom
  • Publication date
    November 19, 2013
  • Keywords
    Co-integration, adjustment coefficients, (un)conditional heteroskedasticity, heteroskedasticity-robust inference, wild bootstrap
  • JEL
    C30, C32