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Zoekopdracht: faculteit: "FEB" en publicatiejaar: "2007"

AuteursH.P. Boswijk, Y. Zu
TitelTesting for Cointegration with Nonstationary Volatility
UitgeverFaculteit Economie en Bedrijfskunde
PlaatsAmsterdam
Jaar2007
Pagina's30
SerietitelUvA - Econometrics Discussion Paper
Serienummer2007/06
FaculteitFaculteit Economie en Bedrijfskunde
Instituut/afd.FEB: Research Institute in Economics and Econometrics Amsterdam (RESAM)
SamenvattingThe 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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