The effect of non-normal disturbances and conditional heteroskedasticity on multiple cointegration tests (Q4493695): Difference between revisions

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scientific article; zbMATH DE number 1487225

Language	Label	Description	Also known as
English	The effect of non-normal disturbances and conditional heteroskedasticity on multiple cointegration tests	scientific article; zbMATH DE number 1487225

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instance of

scholarly article

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title

The effect of non-normal disturbances and conditional heteroskedasticity on multiple cointegration tests (English)

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zbMATH Open document ID

1122.62329

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DOI

10.1080/00949650008811997

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author

Jan M. Podivinsky

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Paramsothy Silvapulle

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published in

Journal of Statistical Computation and Simulation

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publication date

10 August 2000

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Mathematics Subject Classification ID

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MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/00949650008811997

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OpenAlex ID

W2056349245

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cites work

Generalized autoregressive conditional heteroscedasticity

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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Modelling the persistence of conditional variances

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Forecasting and testing in co-integrated systems

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Statistical analysis of cointegration vectors

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Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

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Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time- series model

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Small sample properties of tests of linear restrictions on cointegrating vectors and their weights

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An approximate method for generating symmetric random variables

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An approximate method for generating asymmetric random variables

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Comparisons of tests for multivariate cointegration

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Sitelinks

Mathematics(1 entry)

mardi Publication:4493695

@@ Property / full work available at URL @@
+https://doi.org/10.1080/00949650008811997
+Normal rank
@@ Property / OpenAlex ID @@
+W2056349245
@@ Property / OpenAlex ID: W2056349245 / rank @@
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+Modelling the persistence of conditional variances
+Normal rank
@@ Property / cites work @@
+Forecasting and testing in co-integrated systems
@@ Property / cites work: Forecasting and testing in co-integrated systems / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical analysis of cointegration vectors
@@ Property / cites work: Statistical analysis of cointegration vectors / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
+Normal rank
@@ Property / cites work @@
+Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
+Normal rank
@@ Property / cites work @@
+Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time- series model
+Normal rank
@@ Property / cites work @@
+Small sample properties of tests of linear restrictions on cointegrating vectors and their weights
+Normal rank
@@ Property / cites work @@
+An approximate method for generating symmetric random variables
+Normal rank
@@ Property / cites work @@
+An approximate method for generating asymmetric random variables
+Normal rank
@@ Property / cites work @@
+Comparisons of tests for multivariate cointegration
+Normal rank