Europe and vice versa, with the US leading the UK and standing on equal footing with Germany. We illustrate the importance of …

-varying volatility. In this paper we consider estimation and hypothesis testing on the coefficients of the co-integrating relations and … model for volatility, or to assume that the pattern of volatility is common to, or independent across, the vector of series …

This paper generalises Boswijk and Zu (2018)'s adaptive unit root test for time series with nonstationary volatility to … size distortions in conventional cointegration tests, which may be resolved using the wild bootstrap, as shown by Cavaliere … resulting likelihood ratio test statistic. We find that under suitable conditions, adaptation with respect to the volatility …

functional represents the limiting distribution for cointegration tests with stationary exogenous regressors, but also for … cointegration tests based on a non-Gaussian likelihood. The approximation is accurate, fast, and easy to use in comparison to both …

This paper provides an extensive Monte-Carlo comparison of severalcontemporary cointegration tests. Apart from the … estimation or semi-nonparametric density approximations. Thecomparison is completed with a fully nonparametric cointegration test …

| when the volatility of the innovations is random and possibly non-stationary? In fact, the volatility of many economic and … validity of the bootstrap when the volatility is driven by a non-stationary stochastic process. This includes near …-integrated exogenous volatility processes as well as near-integrated GARCH processes, where the conditional variance has a diffusion limit …