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

DOI10.1111/J.1467-9892.2006.00475.XzbMATH Open1111.62074OpenAlexW2146990306MaRDI QIDQ3440752FDOQ3440752

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

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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)

Cites Work

• Stochastic Limit Theory
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• A Parametric approach to testing the null of cointegration
• Unit Root Tests under Time-Varying Variances
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Testing for a unit root in the presence of a variance shift
• Unit root tests with a break in innovation variance.
• Testing stationarity under a permanent variance shift
• STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
• Heteroskedastic cointegration
• How to estimate autoregressive roots near unity
• An optimal test against a random walk component in a non‐orthogonal unobserved components model

Cited In (6)

• 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
• The influence of heteroskedastic variances on cointegration tests: a comparison using Monte Carlo simulations
• ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY
• Cobra: a package for co-breaking analysis

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