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Inference on co-integration parameters in heteroskedastic vector autoregressions

Boswijk, Herman Peter; Cavaliere, Giuseppe; Rahbek, Anders - 2013

quite general and unknown form in the shocks. We show that the conventional results in Johansen (1996) for the maximum … likelihood estimators and associated likelihood ratio tests derived under homoskedasticity do not in general hold in the presence …

Persistent link: https://www.econbiz.de/10010225789

Bootstrapping non-stationary stochastic volatility

Boswijk, Herman Peter; Cavaliere, Giuseppe; Georgiev, Iliyan - 2019

To what extent can the bootstrap be applied to conditional mean models | such as regression or time series models | when the volatility of the innovations is random and possibly non-stationary? In fact, the volatility of many economic and financial time series displays persistent changes and...

Persistent link: https://www.econbiz.de/10012129325

Bootstrap Sequential Determination of the Co-integration Rank in VAR Models

Cavaliere, Guiseppe; Rahbek, Anders; Taylor, A.M. Robert - School of Economics and Management, University of Aarhus - 2010

level), as the sample size diverges, for general I(1) processes. No such likelihood-based procedure is currently known to be … delivers consistent cointegration rank estimation for general I(1) processes. Finite sample Monte Carlo simulations show the …

Persistent link: https://www.econbiz.de/10008599529

Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility

Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A.M. Robert - School of Economics and Management, University of Aarhus - 2008

this paper we analyse vector autoregressions with non-stationary (unconditional) volatility of a very general form, which …

Persistent link: https://www.econbiz.de/10005440040

Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models

Kristensen, Dennis; Rahbek, Anders - School of Economics and Management, University of Aarhus - 2010

In this paper, we consider a general class of vector error correction models which allow for asymmetric and non …-linear error correction. We provide asymptotic results for (quasi-)maximum likelihood (QML) based estimators and tests. General … of new (uniform) weak convergence results. These results are potentially useful in general for analysis of non …

Persistent link: https://www.econbiz.de/10008677954

Co-integration Rank Testing under Conditional Heteroskedasticity

Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A.M. Robert - School of Economics and Management, University of Aarhus - 2009

We analyse the properties of the conventional Gaussian-based co-integrating rank tests of Johansen (1996) in the case where the vector of series under test is driven by globally stationary, conditionally heteroskedastic (martingale difference) innovations. We first demonstrate that the limiting...

Persistent link: https://www.econbiz.de/10004991541

An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application

Kurita, Takamitsu; Nielsen, Heino Bohn; Rahbek, Anders - School of Economics and Management, University of Aarhus - 2009

This paper presents likelihood analysis of the I(2) cointegrated vector autoregression with piecewise linear deterministic terms. Limiting behavior of the maximum likelihood estimators are derived, which is used to further derive the limiting distribution of the likelihood ratio statistic for...

Persistent link: https://www.econbiz.de/10004994214