Cointegration tests with conditional heteroskedasticity.

DOI10.1016/S0304-4076(95)01745-3zbMath1060.62553MaRDI QIDQ1126488

Tae-Hwy Lee, Yiuman Tse

Publication date: 1996

Published in: Journal of Econometrics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (11)

Cointegration models with non Gaussian GARCH innovations ⋮ Do both demand-following and supply-leading theories hold true in developing countries? ⋮ Semi-strong linearity testing in linear models with dependent but uncorrelated errors ⋮ On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing ⋮ COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY ⋮ DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER ⋮ The influence of heteroskedastic variances on cointegration tests: a comparison using Monte Carlo simulations ⋮ Present value model, heteroscedasticity and parameter stability tests ⋮ Common volatility in major stock index futures markets ⋮ On the Oversized Problem of Dickey–Fuller-Type Tests with GARCH Errors ⋮ Joint modeling of cointegration and conditional heteroscedasticity with applications

Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Statistical analysis of cointegration vectors
• Pitfalls in testing for long run relationships
• Five alternative methods of estimating long-run equilibrium relationships
• Generalized autoregressive conditional heteroscedasticity
• ARCH models as diffusion approximations
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Comparisons of tests for multivariate cointegration
• VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING
• Regression Theory for Near-Integrated Time Series
• Co-Integration and Error Correction: Representation, Estimation, and Testing

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