Testing for vector autoregressive dynamics under heteroskedasticity
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- Hafner, C.M. & Herwartz, H., 2002. "Testing for vector autoregressive dynamics under heteroskedasticity," Econometric Institute Research Papers EI 2002-36, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
References listed on IDEAS
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"Testing for linear autoregressive dynamics under heteroskedasticity,"
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- Christian M. Hafner & Helmut Herwartz, 2009. "Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 63(3), pages 294-323.
More about this item
Keywordsheteroskedasticity; bootstrap; vector autoregression; hypothesis testing; causality; energy markets;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: 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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