It is well established that the shocks driving many key macro-economic and financial variables display time-varying volatility. In this paper we consider estimation and hypothesis testing on the coefficients of the co-integrating relations and the adjustment coefficients in vector...

It is well established that the shocks driving many key macroeconomic and financial variables display time-varying volatility. In this paper we consider estimation and hypothesis testing on the coefficients of the co-integrating relations and the adjustment coefficients in vector autoregressions...

This paper builds on the existing literature on tests of the null hypothesis of deterministic seasonality in a univariate time-series process. Under the assumption of independent Gaussian errors, we derive the class of locally weighted mean most powerful invariant tests against unit roots at the...