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Heteroskedastic cointegration

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Author Info
Hansen, Bruce E.

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File URL: http://www.sciencedirect.com/science/article/B6VC0-4582HJN-2K/2/e0fcf1863f045e476aac775a2937707e
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Publisher Info
Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 54 (1992)
Issue (Month): 1-3 ()
Pages: 139-158
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Handle: RePEc:eee:econom:v:54:y:1992:i:1-3:p:139-158

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Web page: http://www.elsevier.com/locate/jeconom

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  1. Paulo M. M. Rodrigues & Antonio Rubia, 2004. "On the Small Sample Properties of Dickey Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates," Econometrics 0405004, EconWPA. [Downloadable!]
    Other versions:
  2. Boswijk, H.P., 2000. "Testing for a Unit Root with Near-Integrated Volatility," CeNDEF Working Papers 00-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    Other versions:
  3. Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2008. "Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility," Discussion Papers 08-34, University of Copenhagen. Department of Economics. [Downloadable!]
    Other versions:
  4. Adrian R. Pagan & G. William Schwert, 1990. "Alternative Models For Conditional Stock Volatility," NBER Working Papers 2955, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  5. A.M.R. Taylor & D.J.C. van Dijk, 1999. "Testing for stochastic unit roots - Some Monte Carlo evidence," Econometric Institute Report 149, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:
  6. Brendan McCabe & Stephen Leybourne & David Harris, 2003. "Testing for Stochastic Cointegration and Evidence for Present Value Models," Econometrics 0311009, EconWPA. [Downloadable!]
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This page was last updated on 2009-11-13.


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