Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility

Keyphrases

• Bootstrap 25%
• Cointegration 100%
• Cointegration Test 25%
• Covariation 25%
• Inference Problem 25%
• Large Sample Distributions 25%
• Macroeconomics 25%
• Multivariate Stochastic Volatility 25%
• Nonstationary Volatility 100%
• Parametric Model 25%
• Rank Statistics 25%
• Rank Test 25%
• Vector Autoregression 100%
• Volatility 100%
• Volatility Breaks 25%
• Volatility Process 25%
• Wild Bootstrap 25%

Mathematics

• Cointegration 100%
• Integration Test 50%
• Parametric Model 50%
• Rank Statistic 50%
• Rank Test 50%
• Sample Distribution 50%
• Vector Autoregression 100%

Economics, Econometrics and Finance

• Autoregression 100%
• Macroeconomics 14%
• Volatility 100%