The effect of non-normal disturbances and conditional heteroskedasticity on multiple cointegration tests
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Cites work
- An approximate method for generating asymmetric random variables
- An approximate method for generating symmetric random variables
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Comparisons of tests for multivariate cointegration
- Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time- series model
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Forecasting and testing in co-integrated systems
- Generalized autoregressive conditional heteroscedasticity
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Modelling the persistence of conditional variances
- Small sample properties of tests of linear restrictions on cointegrating vectors and their weights
- Statistical analysis of cointegration vectors
Cited in
(3)- Do they still matter? -- Impact of fossil fuels on electricity prices in the light of increased renewable generation
- Causal structure among US corn futures and regional cash prices in the time and frequency domain
- Exploring the impact of multivariate GARCH innovations on hypothesis testing for cointegrating vectors
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