Hanck, Christoph; Demetrescu, Matei; Tarcolea, Adina - Verein für Socialpolitik - VfS - 2012
While the limiting null distributions of cointegration tests are invariant to a certain amount of conditional heteroskedasticity as long as global homoskedasticity conditions are fulfilled, they are certainly affected when the innovations exhibit time-varying volatility. Worse yet, distortions...