Testing the Null of Co-integration in the Presence of Variance Breaks
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Other versions of this item:
- Giuseppe Cavaliere & A. M. Robert Taylor, 2006. "Testing the Null of Co-integration in the Presence of Variance Breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(4), pages 613-636, July.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
- Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2007. "Testing for co-integration in vector autoregressions with non-stationary volatility," Discussion Papers 07/02, University of Nottingham, Granger Centre for Time Series Econometrics.
- 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.
- Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2008. "Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility," CREATES Research Papers 2008-50, Department of Economics and Business Economics, Aarhus University.
- Kourogenis, Nikolaos & Pittis, Nikitas, 2008. "Cointegration, variance shifts and the limiting distribution of the OLS estimator," Economics Letters, Elsevier, vol. 99(1), pages 103-106, April.
More about this item
KeywordsCo-integration tests; variance shifts; fixed regressor bootstrap;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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