Items where Author is "Rahbek, Anders"

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. DOI https://doi.org/10.1017/S0266466616000335

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. DOI https://doi.org/10.1016/j.jeconom.2015.07.005

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. DOI https://doi.org/10.1111/jtsa.12104

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. DOI https://doi.org/10.1111/obes.12051

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. DOI https://doi.org/10.1080/07474938.2013.825175

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. DOI https://doi.org/10.1016/j.jeconom.2010.03.003