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New unit root tests in the nonlinear ESTAR framework : the movement and volatility characteristics of crude oil and copper prices

Li, Yanglin - In: Computational economics 63 (2024) 5, pp. 1757-1776

Persistent link: https://www.econbiz.de/10014549246

Inference on co-integration parameters in heteroskedastic vector autoregressions

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

-varying volatility. In this paper we consider estimation and hypothesis testing on the coefficients of the co-integrating relations and …

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

Inference on co-integration parameters in heteroskedastic vector autoregressions

Boswijk, Herman Peter; Cavaliere, Giuseppe; Rahbek, Anders - In: Journal of econometrics 192 (2016) 1, pp. 64-85

Persistent link: https://www.econbiz.de/10011615672

Adaptive testing for cointegration with nonstationary volatility

Boswijk, Herman Peter; Zu, Yang - 2019

size distortions in conventional cointegration tests, which may be resolved using the wild bootstrap, as shown by Cavaliere … process is possible, in the sense that nonparametric volatility matrix estimation does not lead to a loss of asymptotic local …

Persistent link: https://www.econbiz.de/10012026102