Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions

H. Peter  Boswijk; Giuseppe  Cavaliere; Anders Rahbek; A.M. Robert Taylor

Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions

H. Peter Boswijk, Giuseppe Cavaliere, Anders Rahbek, A.M. Robert Taylor

Department of Economics

Original language	English
Place of Publication	Kbh
Publisher	Økonomisk institut, Københavns Universitet
Number of pages	51
Publication status	Published - 2013

Series	University of Copenhagen. Institute of Economics. Discussion Papers
Number	13
ISSN	0902-6452

Keywords

Faculty of Social Sciences
Co-integration
adjustment coefficients
(un)conditional heteroskedasticity
heteroskedasticity-robust inference
wild bootstrap

Access to Document

http://www.econ.ku.dk/english/research/publications/wp/dp_2013/1313.pdf/

Cite this

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title = "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions",

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author = "Boswijk, {H. Peter} and Giuseppe Cavaliere and Anders Rahbek and Taylor, {A.M. Robert}",

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AU - Rahbek, Anders

AU - Taylor, A.M. Robert

N1 - J.E.L. Classications: C30, C32.

PY - 2013

Y1 - 2013

KW - Faculty of Social Sciences

KW - Co-integration

KW - adjustment coefficients

KW - (un)conditional heteroskedasticity

KW - heteroskedasticity-robust inference

KW - wild bootstrap

M3 - Working paper

T3 - University of Copenhagen. Institute of Economics. Discussion Papers

BT - Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions

PB - Økonomisk institut, Københavns Universitet

CY - Kbh

ER -