Cointegration, variance shifts and the limiting distribution of the OLS estimator

DOI10.1016/J.ECONLET.2007.06.004zbMath1255.62260OpenAlexW2046100455MaRDI QIDQ1934716

Nikitas Pittis, Nikolaos C. Kourogenis

Publication date: 29 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2007.06.004

zbMATH Keywords

cointegrationunconditional heteroscedasticity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (1)

Nuisance parameter free inference on cointegration parameters in the presence of a variance shift

Cites Work

• Testing for a unit root in the presence of a variance shift
• Unit root tests with a break in innovation variance.
• Unit Root Tests under Time-Varying Variances
• Optimal Inference in Cointegrated Systems
• Testing the Null of Co-integration in the Presence of Variance Breaks
• Multiple Time Series Regression with Integrated Processes
• On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity

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