Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity
From MaRDI portal
Publication:278492
DOI10.1016/j.jeconom.2006.03.008zbMath1360.62066OpenAlexW1977613168MaRDI QIDQ278492
Publication date: 2 May 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.03.008
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
Related Items (6)
Exploring the Impact of Multivariate GARCH Innovations on Hypothesis Testing for Cointegrating Vectors ⋮ VEC-MSF models in Bayesian analysis of short- and long-run relationships ⋮ Testing the Cointegrating Rank with Uncorrelated but Dependent Errors ⋮ Testing for co-integration in vector autoregressions with non-stationary volatility ⋮ Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity ⋮ Mean-variance cointegration and the expectations hypothesis
Cites Work
- Statistical analysis of cointegration vectors
- Asymptotic theory of nonlinear least squares estimation
- Weak limit theorems for stochastic integrals and stochastic differential equations
- ARCH modeling in finance. A review of the theory and empirical evidence
- Distribution theory for unit root tests with conditional heteroskedasticity
- Properties of moments of a family of GARCH processes
- Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
- Generalized autoregressive conditional heteroscedasticity
- Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity
- Regression Analysis when the Variance of the Dependent Variable is Proportional to the Square of its Expectation
- Optimal Inference in Cointegrated Systems
- Multiple Time Series Regression with Integrated Processes
- Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers
- Nested Reduced-Rank Autogressive Models for Multiple Time Series
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Uniform Convergence in Probability and Stochastic Equicontinuity
- A canonical analysis of multiple time series
- On the Strong Mixing Property for Linear Sequences
- On a multivariate conditional heteroscedastic model
- ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
- ASYMPTOTIC INFERENCE FOR UNIT ROOT PROCESSES WITH GARCH(1,1) ERRORS
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Strong mixing properties of linear stochastic processes
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- Regression with Nonstationary Volatility
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Maximum Likelihood Estimation of Misspecified Models
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
This page was built for publication: Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity
