Article

Cavaliere, Giuseppe and De Angelis, Luca and Rahbek, Anders and Taylor, AM Robert (2018) 'Determining the cointegration rank in heteroskedastic VAR models of unknown order.' Econometric Theory, 34 (02). pp. 349-382. ISSN 0266-4666

Boswijk, H Peter and Cavaliere, Giuseppe and Rahbek, Anders and Taylor, AM Robert (2016) 'Inference on co-integration parameters in heteroskedastic vector autoregressions.' Journal of Econometrics, 192 (1). pp. 64-85. ISSN 0304-4076

Cavaliere, Giuseppe and Rahbek, Anders and Robert Taylor, AM (2015) 'Bootstrap Determination of the Co-Integration Rank in VAR Models with Unrestricted Deterministic Components.' Journal of Time Series Analysis, 36 (3). pp. 272-289. ISSN 0143-9782

Cavaliere, Giuseppe and Angelis, Luca De and Rahbek, Anders and Robert Taylor, AM (2015) 'A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models.' Oxford Bulletin of Economics and Statistics, 77 (1). pp. 106-128. ISSN 0305-9049

Cavaliere, Giuseppe and Rahbek, Anders and Robert Taylor, AM (2014) 'Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models.' Econometric Reviews, 33 (5-6). pp. 606-650. ISSN 0747-4938

Cavaliere, Giuseppe and Rahbek, Anders and Taylor, AM Robert (2010) 'Testing for co-integration in vector autoregressions with non-stationary volatility.' Journal of Econometrics, 158 (1). pp. 7-24. ISSN 0304-4076