We thank a co-editor and four anonymous referees for their very helpful and constructive comments on previous versions of this paper. We also thank Iliyan Georgiev, Niels Haldrup, Bent Nielsen, Heino Bohn Nielsen, Søren Johansen, and Anders Swensen for many useful discussions on this work. Parts of this paper were written while Cavaliere and Rahbek both visited CREATES, whose hospitality is gratefully acknowledged. Rahbek gratefully acknowledges funding from the Danish Council for Independent Research, Social Sciences (Grant 10-07977). Rahbek is also affiliated with CREATES, funded by the Danish National Research Foundation.
Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models
Article first published online: 25 JUL 2012
© 2012 The Econometric Society
Volume 80, Issue 4, pages 1721–1740, July 2012
How to Cite
Cavaliere, G., Rahbek, A. and Taylor, A. M. R. (2012), Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models. Econometrica, 80: 1721–1740. doi: 10.3982/ECTA9099
- Issue published online: 25 JUL 2012
- Article first published online: 25 JUL 2012
- Manuscript received February, 2010; final revision received November, 2011.
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