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Heteroskedastic cointegration

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  • Hansen, Bruce E.

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  • Hansen, Bruce E., 1992. "Heteroskedastic cointegration," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 139-158.
  • Handle: RePEc:eee:econom:v:54:y:1992:i:1-3:p:139-158
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    1. Beaulieu, J. Joseph & Miron, Jeffrey A., 1991. "The seasonal cycle in U.S. manufacturing," Economics Letters, Elsevier, vol. 37(2), pages 115-118, October.
    2. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238.
    3. Danny Quah & Jeffrey M. Wooldridge, 1988. "A Common Error in the Treatment of Trending Time Series," Working papers 483, Massachusetts Institute of Technology (MIT), Department of Economics.
    4. Osborn, Denise R., 1990. "A survey of seasonality in UK macroeconomic variables," International Journal of Forecasting, Elsevier, vol. 6(3), pages 327-336, October.
    5. Peter C.B. Phillips, 1986. "Weak Convergence to the Matrix Stochastic Integral BdB," Cowles Foundation Discussion Papers 796, Cowles Foundation for Research in Economics, Yale University.
    6. Beaulieu, J Joseph & Miron, Jeffrey A, 1992. "A Cross Country Comparison of Seasonal Cycles and Business Cycles," Economic Journal, Royal Economic Society, vol. 102(413), pages 772-788, July.
    7. Park, Joon Y. & Phillips, Peter C.B., 1988. "Statistical Inference in Regressions with Integrated Processes: Part 1," Econometric Theory, Cambridge University Press, vol. 4(03), pages 468-497, December.
    8. Bhargava, Alok, 1990. "An Econometric Analysis of the U.S. Postwar G.N.P," Journal of Population Economics, Springer;European Society for Population Economics, vol. 3(2), pages 147-156, August.
    9. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, pages 277-301.
    10. Granger, C. W. J. & Newbold, Paul, 1986. "Forecasting Economic Time Series," Elsevier Monographs, Elsevier, edition 2, number 9780122951831 edited by Shell, Karl.
    11. Ghysels, Eric & Lee, Hahn S. & Noh, Jaesum, 1994. "Testing for unit roots in seasonal time series : Some theoretical extensions and a Monte Carlo investigation," Journal of Econometrics, Elsevier, vol. 62(2), pages 415-442, June.
    12. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, pages 277-301.
    13. Barsky, Robert B & Miron, Jeffrey A, 1989. "The Seasonal Cycle and the Business Cycle," Journal of Political Economy, University of Chicago Press, vol. 97(3), pages 503-534, June.
    14. Schwert, G. William, 1987. "Effects of model specification on tests for unit roots in macroeconomic data," Journal of Monetary Economics, Elsevier, vol. 20(1), pages 73-103, July.
    15. Engle, R. F. & Granger, C. W. J. & Hallman, J. J., 1989. "Merging short-and long-run forecasts : An application of seasonal cointegration to monthly electricity sales forecasting," Journal of Econometrics, Elsevier, vol. 40(1), pages 45-62, January.
    16. Ghysels, E., 1987. "Unit Root Tests and the Statistical Pitfalls of Seasonal Adjustment: the Case of U.S. Post-War Real Gnp," Cahiers de recherche 8723, Universite de Montreal, Departement de sciences economiques.
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    Cited by:

    1. Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2016. "Inference on co-integration parameters in heteroskedastic vector autoregressions," Journal of Econometrics, Elsevier, vol. 192(1), pages 64-85.
    2. repec:sbe:breart:v:24:y:2004:i:1:a:2702 is not listed on IDEAS
    3. Harris, David & McCabe, Brendan & Leybourne, Stephen, 2002. "Stochastic cointegration: estimation and inference," Journal of Econometrics, Elsevier, vol. 111(2), pages 363-384, December.
    4. H. Peter Boswijk, 2000. "Testing for a Unit Root with Near-Integrated Volatility," Econometric Society World Congress 2000 Contributed Papers 1101, Econometric Society.
    5. Pagan, Adrian R. & Schwert, G. William, 1990. "Alternative models for conditional stock volatility," Journal of Econometrics, Elsevier, pages 267-290.
    6. Kong, Moon-Kee & Lee, Hoe-Kyung, 1999. "Demand for medical care, consumption and cointegration," Economics Letters, Elsevier, vol. 62(3), pages 325-330, March.
    7. Marc Sáez & Robert M. Kunst, 1995. "ARCH patterns in cointegrated systems," Economics Working Papers 110, Department of Economics and Business, Universitat Pompeu Fabra.
    8. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010. "Testing for co-integration in vector autoregressions with non-stationary volatility," Journal of Econometrics, Elsevier, vol. 158(1), pages 7-24, September.
    9. Brendan McCabe & Stephen Leybourne & David Harris, 2003. "Testing for Stochastic Cointegration and Evidence for Present Value Models," Econometrics 0311009, EconWPA.
    10. Magdalena Osinska & Joanna Górka, 2006. "Identification of Non-linearity in Economic Time Series," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 7, pages 83-92.
    11. 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," Working Papers. Serie AD 2004-11, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    12. Ricardo D. Brito & Angelo Jose Mont & Alverne Duarte & Osamani Teixeira de Carvalho Guillén, 2004. "Reação Exagerada dos Diferenciais de Rendimento e Movimentos das Taxas de Juros Brasileiras," Finance Lab Working Papers flwp_67, Finance Lab, Insper Instituto de Ensino e Pesquisa.
    13. Lahiani, Amine & Hammoudeh, Shawkat & Gupta, Rangan, 2016. "Linkages between financial sector CDS spreads and macroeconomic influence in a nonlinear setting," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 443-456.
    14. MArcelo Cunha Medeiros & Eduardo Mendes & Les Oxley, 2010. "Nonlinear Cointegration, Misspecification and Bimodality," Textos para discussão 577, Department of Economics PUC-Rio (Brazil).
    15. Osmani Teixeira De Carvalho Guillen & José Valentim Machado Vicente, 2011. "Characterizing The Brazilian Termstructure Of Interest Rates In A Cointegrated Var Model," Anais do XXXVIII Encontro Nacional de Economia [Proceedings of the 38th Brazilian Economics Meeting] 041, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
    16. Hui, Cho-Hoi & Fong, Tom Pak-Wing, 2015. "Price cointegration between sovereign CDS and currency option markets in the financial crises of 2007–2013," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 174-190.

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