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Cointegration rank testing under conditional heteroskedasticity

Cavaliere, Guiseppe; Rahbek, Anders; Taylor, Robert - In: Econometric theory 26 (2010) 6, pp. 1719-1760

Persistent link: https://www.econbiz.de/10008738343

A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models

Cavaliere, Giuseppe; De Angelis, Luca; Rahbek, Anders; … - In: Oxford bulletin of economics and statistics 77 (2015) 1, pp. 106-128

Persistent link: https://www.econbiz.de/10011373619

Determination of the number of common stochastic trends under conditional heteroskedasticity

Cavaliere, Giuseppe; Rahbek, Anders; Taylor, Robert - In: Estudios de economía aplicada : revista promovida por … 28 (2010) 3, pp. 519-551

Persistent link: https://www.econbiz.de/10009712288

Co-Integration Rank Testing under Conditional Heteroskedasticity

Cavaliere, Giuseppe - 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/10013159424