Cointegration rank testing under conditional heteroskedasticity

DOI10.1017/S0266466609990776MaRDI QIDQ2995420zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Bootstrap determination of the co-integration rank in heteroskedastic VAR models
• scientific article; zbMATH DE number 5864669
• Inference on co-integration parameters in heteroskedastic vector autoregressions
• Testing for co-integration in vector autoregressions with non-stationary volatility
• Cointegration tests with conditional heteroskedasticity.

Cites work

• A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model
• ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
• Analytical evaluation of the power of tests for the absence of cointegration
• Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
• Booststrapped johansen tests for cointegration relationships: a graphical analysis
• Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
• Bootstrap Unit Root Tests
• Bootstrap and wild bootstrap for high dimensional linear models
• Bootstrap procedures under some non-i.i.d. models
• Bootstrapping Autoregression under Non-stationary Volatility
• Bootstrapping Autoregressive Processes with Possible Unit Roots
• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Bootstrapping general empirical measures
• Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms
• Cointegration tests with conditional heteroskedasticity.
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Jackknife, bootstrap and other resampling methods in regression analysis
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Martingale Central Limit Theorems
• On Limit Theorems for Quadratic Functions of Discrete Time Series
• On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
• On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots
• On the law of large numbers for (geometrically) ergodic Markov chains
• Residual-Based Block Bootstrap for Unit Root Testing
• Semiparametric cointegrating rank selection
• Small sample testing for cointegration using the bootstrap approach
• Stochastic Limit Theory
• Testing for structural change in conditional models

Cited in

(29)

• A primer on bootstrap testing of hypotheses in time series models: with an application to double autoregressive models
• 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
• A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables
• Bootstrap tests for time varying cointegration
• Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
• Bootstrap Determination of the Co‐Integration Rank in VAR Models with Unrestricted Deterministic Components
• Small sample adjustment for hypotheses testing on cointegrating vectors
• 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
• Determining the cointegration rank in heteroskedastic VAR models of unknown order
• INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS
• Estimation bias and bias correction in reduced rank autoregressions
• 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
• Bootstrap cointegration rank testing: the role of deterministic variables and initial values in the bootstrap recursion
• Inference on co-integration parameters in heteroskedastic vector autoregressions
• Bootstrap determination of the co-integration rank in heteroskedastic VAR models
• A residual-based test for stochastic cointegration
• Block bootstrap theory for multivariate integrated and cointegrated processes
• Inference in VARs with conditional heteroskedasticity of unknown form
• Exploring the impact of multivariate GARCH innovations on hypothesis testing for cointegrating vectors
• An I(2) cointegration model with piecewise linear trends

This page was built for publication: Cointegration rank testing under conditional heteroskedasticity

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2995420)