Cointegration, variance shifts and the limiting distribution of the OLS estimator (Q1934716): Difference between revisions

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+On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
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+Unit Root Tests under Time-Varying Variances
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+Testing the Null of Co-integration in the Presence of Variance Breaks
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+Testing for a unit root in the presence of a variance shift
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+Unit root tests with a break in innovation variance.
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+Optimal Inference in Cointegrated Systems
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+Multiple Time Series Regression with Integrated Processes
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