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Testing for co-integration in vector autoregressions with non-stationary volatility · Study

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ArticleTesting for co-integration in vector autoregressions with non-stationary volatility

Giuseppe Cavaliere2010

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Articlegreen2010

Testing for co-integration in vector autoregressions with non-stationary volatility

Giuseppe Cavaliere · Anders Rahbek · Robert Taylor

115 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Diverse Scientific and Economic Studies

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References

1988Statistical analysis of cointegration vectors 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 2000Sample Splitting and Threshold Estimation 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis n.d.Output Fluctuations in the United States: What Has Changed since the Early 1980's?1993FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION

Cited by

2007Time‐Transformed Unit Root Tests for Models with Non‐Stationary Volatility 2015Instrumental variable and variable addition based inference in predictive regressions 2009Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity 2015Bootstrap Testing of Hypotheses on Co-Integration Relations in Vector Autoregressive Models 2012Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models

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2009HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOTarticle · 15 shared references 2007BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITYarticle · 13 shared references 2008Testing for a change in persistence in the presence of non-stationary volatilityarticle · 11 shared references 2015Inference on co-integration parameters in heteroskedastic vector autoregressionsarticle · 11 shared references 2010COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITYarticle · 10 shared references 2011TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITYarticle · 10 shared references

Details

Year2010

Typearticle

Published2010-03-12

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations115

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2010.03.003

openalex_workW1569551836

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2015Inference on co-integration parameters in heteroskedastic vector autoregressions

2012Adaptive estimation of vector autoregressive models with time-varying variance: Application to testing linear causality in mean

2008Bootstrapping Autoregression under Non-stationary Volatility