Autoregressive Order Identification for VAR Models with Non Constant Variance

Author: Raïssi Hamdi  

Publisher: Taylor & Francis Ltd

E-ISSN: 1532-415X|44|10|2059-2078

ISSN: 0361-0926

Source: Communications in Statistics: Theory and Methods, Vol.44, Iss.10, 2015-05, pp. : 2059-2078

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Abstract