Power and Size analysis of Co-integration tests in Conditional Heteroskedascity: A Monte Carlo Simulation
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More about this item
KeywordsCo-integration test; Size; Monte-Carlos Simulation; Power; Heteroskedasticity;
All these keywords.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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