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Taylor, A. M. Robert's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
254 |
Total
Citations
21 |
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1.
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Bootstrap Sequential Determination of the Co-Integration Rank in VAR Models
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Cavaliere, Giuseppe
University of Bologna - Department of Statistics Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research Taylor, A. M. Robert
affiliation not provided to SSRN
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Posted:
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11 Feb 10
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Last Revised:
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12 Feb 10
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49
(202,311)
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Cavaliere, Giuseppe
University of Bologna - Department of Statistics Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research Taylor, A. M. Robert
affiliation not provided to SSRN
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28
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co-integration, trace test, sequential rank determination, i.i.d. bootstrap, wild bootstrap
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Cavaliere, Giuseppe
University of Bologna - Department of Statistics Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research Taylor, A. M. Robert
affiliation not provided to SSRN
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21
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1
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Co-integration, trace test, sequential rank determination, i.i.d.bootstrap, wild bootstrap
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2.
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Cavaliere, Giuseppe
University of Bologna - Department of Statistics Phillips, Peter C. B.
Yale University - Cowles Foundation Smeekes, Stephan
affiliation not provided to SSRN Taylor, A. M. Robert
affiliation not provided to SSRN
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47
(206,083)
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Unit root test, Lag selection, Information criteria, Wild bootstrap, Nonstationary volatility
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3.
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Cavaliere, Giuseppe
University of Bologna - Department of Statistics Harvey, David I.
University of Nottingham - School of Economics Leybourne, Stephen J.
University of Nottingham Taylor, A. M. Robert
affiliation not provided to SSRN
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38
(224,129)
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1
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Unit root tests, quasi difference de-trending, trend break, non-stationary volatility, wild bootstrap
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4.
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Cavaliere, Giuseppe
University of Bologna - Department of Statistics Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research Taylor, A. M. Robert
affiliation not provided to SSRN
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37
(226,355)
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7
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Co-integration, trace and maximum eigenvalue rank tests, conditional heteroskedasticity, i.i.d. bootstrap, wild bootstrap
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5.
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Leybourne, Stephen J.
University of Nottingham Kim, Tae-Hwan
University of Nottingham - School of Economics Taylor, A. M. Robert
affiliation not provided to SSRN
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26
(255,093)
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5
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Leybourne, Stephen J.
University of Nottingham Taylor, A. M. Robert
affiliation not provided to SSRN Kim, Tae-Hwan
University of Nottingham - School of Economics
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18
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3
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7.
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Burridge, Peter
City University London - Department of Economics Taylor, A. M. Robert
affiliation not provided to SSRN
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17
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8.
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Cavaliere, Giuseppe
University of Bologna - Department of Statistics Taylor, A. M. Robert
affiliation not provided to SSRN
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15
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3
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9.
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Cavaliere, Giuseppe
University of Bologna - Department of Statistics Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research Taylor, A. M. Robert
affiliation not provided to SSRN
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7
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1
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Bootstrap, Co-integration, Trace statistic, Rank determination, heteroskedasticity
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Records 1 -
9
of 9 matches
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