In this paper we introduce a bootstrap procedure to test parameter restrictions in vector autoregressive models which is robust in cases of conditionally heteroskedastic error terms. The adopted wild bootstrap method does not require any parametric specification of the volatility process and...

This paper studies an explosive autoregression with conditionally heteroskedastic innovations. The asymptotic distributions of LS, GLS, t-statitiscs, heteroskedasticity-consistent t-statistics and GLS t-statistics are derived for nonstationary local-to-unity and mildly explosive roots, in which...