Inference on co-integration parameters in heteroskedastic vector autoregressions
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Publication:5964751
DOI10.1016/j.jeconom.2015.07.005zbMath1419.62220MaRDI QIDQ5964751
A. M. Robert Taylor, Giuseppe Cavaliere, Anders Rahbek, H. Peter Boswijk
Publication date: 1 March 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://repository.essex.ac.uk/14472/1/JE2013324_final.pdf
(un)conditional heteroskedasticity; adjustment coefficients; co-integration; heteroskedasticity-robust inference; wild bootstrap
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
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