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Query: faculty: "FEB" and publication year: "2007"

AuthorsH.P. Boswijk, Y. Zu
TitleTesting for Cointegration with Nonstationary Volatility
PublisherUniversity of Amsterdam
PlaceAmsterdam
Year2007
Pages30
Title seriesUvA - Econometrics Discussion Paper
Series number2007/06
FacultyFaculty of Economics and Business
Institute/dept.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
AbstractThe paper generalises recent unit root tests for nonstationary volatility to a multivariate context. Persistent changes in the innovation variance matrix lead to size distortions in conventional cointegration tests, and possibilities of increased power by taking the time-varying volatilities and correlations into account. The testing procedures are based on a likelihood analysis of the vector autoregressive model with a conditional covariance matrix that may be estimated nonparametrically. We find that under suitable conditions, adaptation with respect to the volatility matrix process is possible, in the sense that nonparametric volatility estimation does not lead to a loss of asymptotic local power.
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