Testing for no-cointegration under time-varying variance

DOI10.1016/J.ECONLET.2019.06.001MaRDI QIDQ2315402zbMATH OpenOpenAlexWikidataFDO

Authors Shaoping Wang, Qing Zhao, Yanglin Li

Publication date 5 August 2019

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2019.06.001

zbMATH Keywords

wild bootstrapcointegrationtime-varying varianceBitcoinresidual-based tests

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Bootstrap tests for time varying cointegration
• Testing cointegration relationship in a semiparametric varying coefficient model
• Time-varying cointegration
• Testing the Null of Co-integration in the Presence of Variance Breaks
• Tests for cointegration with infinite variance errors

Cites work

• Asymmetric volatility in cryptocurrencies
• Asymptotic Properties of Residual Based Tests for Cointegration
• BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Forecasting and testing in co-integrated systems
• Residuals-based tests for cointegration with generalized least-squares detrended data
• Testing for unit roots in time series models with non-stationary volatility
• Time Series Regression with a Unit Root

Cited in

(6)

• Corrected portmanteau tests for VAR models with time-varying variance
• On the correlation analysis of stocks with zero returns
• Bootstrap tests for time varying cointegration
• Two simple tests of the trend hypothesis under time-varying variance
• TESTING THE NULL OF NO COINTEGRATION WHEN COVARIATES ARE KNOWN TO HAVE A UNIT ROOT
• Testing for Common Cycles in Non-Stationary VARs with Varied Frequency Data

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