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

DOI10.1111/J.1467-9892.2006.00475.XMaRDI QIDQ3440752zbMATH OpenOpenAlexFDO

Authors 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

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

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Cites work

• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A Parametric approach to testing the null of cointegration
• An optimal test against a random walk component in a non‐orthogonal unobserved components model
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Heteroskedastic cointegration
• How to estimate autoregressive roots near unity
• STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
• Stochastic Limit Theory
• Testing for a unit root in the presence of a variance shift
• Testing for structural change in conditional models
• Testing stationarity under a permanent variance shift
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Unit Root Tests under Time-Varying Variances
• Unit root tests with a break in innovation variance.

Cited in

(8)

• Adaptive long memory testing under heteroskedasticity
• Nuisance parameter free inference on cointegration parameters in the presence of a variance shift
• Testing for co-integration in vector autoregressions with non-stationary volatility
• Testing for parameter instability in predictive regression models
• Cointegration, variance shifts and the limiting distribution of the OLS estimator
• Testing for no-cointegration under time-varying variance
• The influence of heteroskedastic variances on cointegration tests: a comparison using Monte Carlo simulations
• Cobra: a package for co-breaking analysis

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