Inference on co-integration parameters in heteroskedastic vector autoregressions

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

zbMATH Keywords

(un)conditional heteroskedasticity; adjustment coefficients; co-integration; heteroskedasticity-robust inference; wild bootstrap

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

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