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• W1966004889 abstract "In this paper, a bootstrap algorithm for a reduced rank vector autoregressive (VAR) model which also includes stationary regressors, is analyzed. It is shown that the bootstrap distribution for estimating the rank converges to the distribution derived from the usual asymptotic framework. Because the asymptotic distribution will typically depend on unknown parameters, bootstrap distributions are of considerable interest in this context. The result of an application and some Monte Carlo experiments are also presented." @default.
• W1966004889 created "2016-06-24" @default.
• W1966004889 creator A5060495773 @default.
• W1966004889 date "2011-12-01" @default.
• W1966004889 modified "2023-10-09" @default.
• W1966004889 title "A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables" @default.
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• W1966004889 doi "https://doi.org/10.1016/j.jeconom.2011.07.002" @default.
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