Testing the Null of Co-integration in the Presence of Variance Breaks

DOI10.1111/j.1467-9892.2006.00475.xzbMath1111.62074OpenAlexW2146990306MaRDI QIDQ3440752

Giuseppe Cavaliere, A. M. Robert Taylor

Publication date: 29 May 2007

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2006.00475.x

zbMATH Keywords

asymptotic distributionvector-valued time seriesfixed repressors bootstrap

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Bootstrap, jackknife and other resampling methods (62F40)

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