Cointegration rank testing under conditional heteroskedasticity

DOI10.1017/S0266466609990776zbMATH Open1294.62192OpenAlexW3123535042MaRDI QIDQ2995420FDOQ2995420

Authors: 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

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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)

Cites Work

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Cited In (29)

• Adaptive long memory testing under heteroskedasticity
• Bootstrapping non-stationary stochastic volatility
• Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order
• Bootstrap tests for time varying cointegration
• A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables
• Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
• Small sample adjustment for hypotheses testing on cointegrating vectors
• Bootstrap Determination of the Co‐Integration Rank in VAR Models with Unrestricted Deterministic Components
• Testing for co-integration in vector autoregressions with non-stationary volatility
• Cointegration rank tests based on vector autoregressive approximations under alternative hypotheses
• A unifying theory of tests of rank
• On determination of cointegration ranks
• Tests of Equal Forecasting Accuracy for Nested Models with Estimated CCE Factors*
• Semiparametric error-correction models for cointegration with trends: pseudo-Gaussian and optimal rank-based tests of the cointegration rank
• Wild bootstrap tests for autocorrelation in vector autoregressive models
• INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS
• Estimation bias and bias correction in reduced rank autoregressions
• Determining the cointegration rank in heteroskedastic VAR models of unknown order
• TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
• Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
• Inference on co-integration parameters in heteroskedastic vector autoregressions
• Bootstrap cointegration rank testing: the role of deterministic variables and initial values in the bootstrap recursion
• Bootstrap determination of the co-integration rank in heteroskedastic VAR models
• Block bootstrap theory for multivariate integrated and cointegrated processes
• A residual-based test for stochastic cointegration
• Exploring the impact of multivariate GARCH innovations on hypothesis testing for cointegrating vectors
• Inference in VARs with conditional heteroskedasticity of unknown form
• An I(2) cointegration model with piecewise linear trends
• A primer on bootstrap testing of hypotheses in time series models: with an application to double autoregressive models

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