Exploring the Impact of Multivariate GARCH Innovations on Hypothesis Testing for Cointegrating Vectors

DOI10.1080/03610918.2012.677920zbMath1300.62077OpenAlexW2039694824MaRDI QIDQ5299921

Takamitsu Kurita

Publication date: 24 June 2013

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2012.677920

zbMATH Keywords

Monte Carlo experimentBartlett-type correctioncointegrating vectormultivariate GARCHwild bootstrapping

Mathematics Subject Classification ID

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

Uses Software

• Ox

Cites Work

• Unnamed Item
• The wild bootstrap, tamed at last
• Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity
• Markov chains and stochastic stability
• Testing for co-integration in vector autoregressions with non-stationary volatility
• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Statistical analysis of cointegration vectors
• Bootstrap procedures under some non-i.i.d. models
• Heteroskedastic cointegration
• A test for constant correlations in a multivariate GARCH model
• Generalized autoregressive conditional heteroscedasticity
• Asymptotic theory for multivariate GARCH processes.
• A BARTLETT CORRECTION FACTOR FOR TESTS ON THE COINTEGRATING RELATIONS
• COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Some tests for parameter constancy in cointegrated VAR‐models
• The effect of non-normal disturbances and conditional heteroskedasticity on multiple cointegration tests
• Residual-Based Block Bootstrap for Unit Root Testing
• Properties of sufficiency and statistical tests

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