Cointegration, variance shifts and the limiting distribution of the OLS estimator
type: Item
instance of: scholarly article
title: Cointegration, variance shifts and the limiting distribution of the OLS estimator
zbMATH Open document ID: 1255.62260
author: Nikitas Pittis
author: Nikolaos C. Kourogenis
published in: Economics Letters
publication date: 2013-01-29T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62E20
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6132310
zbMATH Keywords: cointegration
zbMATH Keywords: unconditional heteroscedasticity
MaRDI profile type: Publication
full work available at URL: j.econlet.2007.06.004
OpenAlex ID: W2046100455
cites work: On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
cites work: Unit Root Tests under Time-Varying Variances
cites work: Testing the Null of Co-integration in the Presence of Variance Breaks
cites work: Testing for a unit root in the presence of a variance shift
cites work: Unit root tests with a break in innovation variance.
cites work: Optimal Inference in Cointegrated Systems
cites work: Multiple Time Series Regression with Integrated Processes
DOI: 10.1016/J.ECONLET.2007.06.004
description: scientific article; zbMATH DE number 6132310