Adaptive Testing for Cointegration With Nonstationary Volatility
(2021)
Journal Article
Boswijk, H. P., & Zu, Y. (2022). Adaptive Testing for Cointegration With Nonstationary Volatility. Journal of Business and Economic Statistics, 40(2), 744-755. https://doi.org/10.1080/07350015.2020.1867558
This article develops a class of adaptive cointegration tests for multivariate time series with nonstationary volatility. Persistent changes in the innovation variance matrix of a vector autoregressive model lead to size distortions in conventional c... Read More about Adaptive Testing for Cointegration With Nonstationary Volatility.