Gauss
code for wild bootstrap cointegration rank tests
used in
Cavaliere, Rahbek and Taylor (2008) "Testing for cointegration in
vector autoregressions with nonstationary volatility", Journal of
Econometrics, forthcoming. Link to paper
Cavaliere, Rahbek and Taylor (2009) "Co-integration Rank
Testing under Conditional Heteroskedasticity " link to paper
To get the Gauss
code for running the tests please send an email to
giuseppe.cavaliere@unibo.it