COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY

DOI10.1017/S0266466609990776zbMath1294.62192OpenAlexW3123535042MaRDI QIDQ2995420

Giuseppe Cavaliere, Anders Rahbek, A. M. Robert Taylor

Publication date: 21 April 2011

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466609990776

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07)

Related Items (21)

Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point ⋮ Exploring the Impact of Multivariate GARCH Innovations on Hypothesis Testing for Cointegrating Vectors ⋮ A unifying theory of tests of rank ⋮ Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models ⋮ Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion ⋮ Wild bootstrap tests for autocorrelation in vector autoregressive models ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ Inference in VARs with conditional heteroskedasticity of unknown form ⋮ Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order ⋮ DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER ⋮ INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS ⋮ An I(2) cointegration model with piecewise linear trends ⋮ Inference on co-integration parameters in heteroskedastic vector autoregressions ⋮ A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables ⋮ Bootstrapping non-stationary stochastic volatility ⋮ TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS ⋮ Bootstrap Determination of the Co‐Integration Rank in VAR Models with Unrestricted Deterministic Components ⋮ Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes ⋮ A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS ⋮ Estimation bias and bias correction in reduced rank autoregressions ⋮ Bootstrap tests for time varying cointegration

Cites Work

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