Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity
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- Helmut Herwartz & Helmut Lütkepohl, 2011. "Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(3), pages 281-291, May.
References listed on IDEAS
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Cited by:
- Westerlund, Joakim, 2014. "On the choice of test for a unit root when the errors are conditionally heteroskedastic," Computational Statistics & Data Analysis, Elsevier, vol. 69(C), pages 40-53.
- Anna Pajor & Justyna Wróblewska, 2022. "Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(3), pages 427-448, September.
- Joakim Westerlund & Paresh Narayan, 2013. "Testing the Efficient Market Hypothesis in Conditionally Heteroskedastic Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(11), pages 1024-1045, November.
- Joakim Westerlund, 2013. "A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(4), pages 477-495, July.
- Li, Y-N. & Chen, J. & Linton, O., 2021. "Estimation of Common Factors for Microstructure Noise and Efficient Price in a High-frequency Dual Factor Model," Cambridge Working Papers in Economics 2150, Faculty of Economics, University of Cambridge.
- López Cabrera, Brenda & Schulz, Franziska, 2016.
"Volatility linkages between energy and agricultural commodity prices,"
Energy Economics, Elsevier, vol. 54(C), pages 190-203.
- López Cabrera, Brenda & Schulz, Franziska, 2013. "Volatility linkages between energy and agricultural commodity prices," SFB 649 Discussion Papers 2013-042, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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More about this item
Keywords
Vector autoregressive process; vector error correction model; cointegration; reduced rank estimation; maximum likelihood estimation; multivariate GARCH;All these keywords.
JEL classification:
- 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
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2010-01-10 (Econometrics)
- NEP-ETS-2010-01-10 (Econometric Time Series)
- NEP-ORE-2010-01-10 (Operations Research)
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