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Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models

Boswijk, H Peter and Cavaliere, Giuseppe and De Angelis, Luca and Taylor, AM Robert (2023) Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models. Econometric Reviews, 42 (9-10). pp. 725-757. DOI https://doi.org/10.1080/07474938.2023.2222633



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