Items where Author is "Rahbek, Anders"
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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