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

DOI10.1080/00949650008811997zbMath1122.62329OpenAlexW2056349245MaRDI QIDQ4493695

Jan M. Podivinsky, Paramsothy Silvapulle

Publication date: 10 August 2000

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650008811997

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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