Cointegration tests with conditional heteroskedasticity. (Q1126488): Difference between revisions

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+Generalized autoregressive conditional heteroscedasticity
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+Distribution of the Estimators for Autoregressive Time Series With a Unit Root
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Co-Integration and Error Correction: Representation, Estimation, and Testing
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+Five alternative methods of estimating long-run equilibrium relationships
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+Pitfalls in testing for long run relationships
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+Statistical analysis of cointegration vectors
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+ARCH models as diffusion approximations
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+Regression Theory for Near-Integrated Time Series
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+Comparisons of tests for multivariate cointegration
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+VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING
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+Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
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+A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
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+Publication:1126488