Cointegration tests with conditional heteroskedasticity.

DOI10.1016/S0304-4076(95)01745-3MaRDI QIDQ1126488zbMATH OpenFDO

Authors Tae-Hwy Lee, Yiuman Tse

Publication date 1996

Published in Journal of Econometrics (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

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

Cited in

(16)

• Cointegration and the joint confirmation hypothesis.
• Size and power of cointegration tests with non-normal GARCH error distributions
• Common volatility in major stock index futures markets
• A portmanteau test for multivariate GARCH when the conditional mean is an ECM: theory and empirical applications
• Do both demand-following and supply-leading theories hold true in developing countries?
• On the oversized problem of Dickey-Fuller-type tests with GARCH errors
• The influence of heteroskedastic variances on cointegration tests: a comparison using Monte Carlo simulations
• Cointegration rank testing under conditional heteroskedasticity
• Heteroskedastic cointegration
• Semi-strong linearity testing in linear models with dependent but uncorrelated errors
• Cointegration models with non Gaussian GARCH innovations
• Determining the cointegration rank in heteroskedastic VAR models of unknown order
• Present value model, heteroscedasticity and parameter stability tests
• Exploring the impact of multivariate GARCH innovations on hypothesis testing for cointegrating vectors
• Joint modeling of cointegration and conditional heteroscedasticity with applications
• On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing

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