Media type: E-Article Title: Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models Contributor: Boswijk, Herman Peter [VerfasserIn]; Cavaliere, Giuseppe [VerfasserIn]; De Angelis, Luca [VerfasserIn]; Taylor, Robert [VerfasserIn] imprint: 2023 Published in: Econometric reviews ; 42(2023), 9/10, Seite 725-757 Language: English DOI: 10.1080/07474938.2023.2222633 ISSN: 1532-4168 Identifier: Keywords: adaptive estimation ; autoregressive lag length ; co-integration rank ; information criteria ; non-stationary volatility ; Aufsatz in Zeitschrift Origination: Footnote: Access State: Open Access