Herwartz, Helmut; Luetkepohl, Helmut - Department of Economics, European University Institute - 2009
In the presence of generalized conditional heteroscedasticity (GARCH) in the residuals of a vector error correction model (VECM), maximum likelihood (ML) estimation of the cointegration parameters has been shown to be efficient. On the other hand, full ML estimation of VECMs with GARCH residuals...