Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A. M. Robert - Granger Centre for Time Series Econometrics, School of … - 2009
In this paper 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 possibly non-stationary, conditionally heteroskedastic (martingale difference) innovations. We first demonstrate...