Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
异方差 VAR 模型中确定协整秩的自适应信息准则方法
Standard methods, such as sequential procedures based on Johansen's (pseudo-)likelihood ratio (PLR) test, for determining the co-integration rank of a vector autoregressive (VAR) system of variables integrated of order one can be significantly affected, even asymptotically, by unconditional heteroskedasticity (non-stationary volatility) in the data. Known solutions to this problem include wild bootstrap implementations of the PLR test or the use of an information criterion,…