The influence of heteroskedastic variances on cointegration tests: a comparison using Monte Carlo simulations

DOI10.1007/S00180-011-0293-XzbMATH Open1305.65058OpenAlexW2063299832MaRDI QIDQ2255776FDOQ2255776

Daiki Maki

Publication date: 18 February 2015

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-011-0293-x

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zbMATH Keywords

structural breakscointegrationthreshold modelempirical sizeheteroskedastic variance

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Cites Work

• Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Statistical analysis of cointegration vectors
• Modeling and pricing long memory in stock market volatility
• Nonparametric tests for unit roots and cointegration.
• Residual-based tests for cointegration in models with regime shifts
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Testing for co-integration in vector autoregressions with non-stationary volatility
• Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
• Testing the Null of Co-integration in the Presence of Variance Breaks
• TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
• Cointegration tests with conditional heteroskedasticity.
• Specifying smooth transition regression models in the presence of conditional heteroskedasticity of unknown form
• Can GARCH Models Capture Long-Range Dependence?
• Testing for cointegration in the presence of mis-specified structural change
• Stochastic cointegration: estimation and inference.
• Size and power of some cointegration tests under structural breaks and heteroskedastfc noise

Cited In (1)

• How useful is yet another data-driven bandwidth in long-run variance estimation? A simulation study on cointegrating regressions

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