Heteroskedastic cointegration

DOI10.1016/0304-4076(92)90103-XzbMath0755.62085OpenAlexW4234184362MaRDI QIDQ1203087

Bruce E. Hansen

Publication date: 4 February 1993

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

Full work available at URL: https://doi.org/10.1016/0304-4076(92)90103-x

zbMATH Keywords

consistencyleast squares estimatesnormal approximationscointegrated regressionsheteroskedastic cointegrationnonstationary variancesrobust covariance matrix estimate

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Asymptotic properties of parametric tests (62F05)

Related Items (12)

Exploring the Impact of Multivariate GARCH Innovations on Hypothesis Testing for Cointegrating Vectors ⋮ SOME LIMIT THEORY FOR AUTOCOVARIANCES WHOSE ORDER DEPENDS ON SAMPLE SIZE ⋮ A Note on Nonlinear Cointegration, Misspecification, and Bimodality ⋮ Non-parametric testing for seasonally and periodically integrated processes ⋮ BOOTSTRAPPING SYSTEMS COINTEGRATION TESTS WITH A PRIOR ADJUSTMENT FOR DETERMINISTIC TERMS ⋮ Statistical Adequacy and the Testing of Trend Versus Difference Stationarity ⋮ Inference on co-integration parameters in heteroskedastic vector autoregressions ⋮ Testing for co-integration in vector autoregressions with non-stationary volatility ⋮ Demand for medical care, consumption, and cointegration ⋮ Time-varying cointegration and the Kalman filter ⋮ Testing the Null of Co-integration in the Presence of Variance Breaks ⋮ Stochastic cointegration: estimation and inference.

Cites Work

• A functional central limit theorem for weakly dependent sequences of random variables
• Statistical analysis of cointegration vectors
• A maximal inequality and dependent strong laws
• On consistency in time series analysis
• Strong consistency of least squares estimates in dynamic models
• Nonlinear Regression with Dependent Observations
• Multiple Time Series Regression with Integrated Processes
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION

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