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January 1, 2012Econometrica

Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models

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Authors

GCGiuseppe CavaliereUniversity of ExeterARAnders RahbekUniversity of CopenhagenRTRobert TaylorUniversity of Essex

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Cavaliere et al. (2012) studied this question.

synapsesocial.com/papers/6a1d469733e2df9c962f3d79https://doi.org/10.3982/ecta9099
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