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

DOI10.1016/J.ECONLET.2010.01.021zbMath1204.62153OpenAlexW2161760816MaRDI QIDQ974202

H. Peter Boswijk

Publication date: 27 May 2010

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

Full work available at URL: http://dare.uva.nl/personal/pure/en/publications/nuisance-parameter-free-inference-on-cointegration-parameters-in-the-presence-of-a-variance-shift(0a5a80e3-e2c9-4f54-a0da-a9e3a8530cc7).html

zbMATH Keywords

cointegrationwild bootstrapheteroskedasticityvariance shifts

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Asymptotic properties of parametric tests (62F05)

Related Items (1)

IV‐BASED COINTEGRATION TESTING IN DEPENDENT PANELS WITH TIME‐VARYING VARIANCE

Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Testing for unit roots in time series models with non-stationary volatility
• Testing for co-integration in vector autoregressions with non-stationary volatility
• Bootstrapping general empirical measures
• Cointegration, variance shifts and the limiting distribution of the OLS estimator
• Bootstrap and wild bootstrap for high dimensional linear models
• BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY

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