کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5096891 1376556 2010 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Testing for co-integration in vector autoregressions with non-stationary volatility
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Testing for co-integration in vector autoregressions with non-stationary volatility
چکیده انگلیسی
Many key macroeconomic and financial variables are characterized by permanent changes in unconditional volatility. In this paper we analyse vector autoregressions with non-stationary (unconditional) volatility of a very general form, which includes single and multiple volatility breaks as special cases. We show that the conventional rank statistics computed as in Johansen, 1988, Johansen, 1991 are potentially unreliable. In particular, their large sample distributions depend on the integrated covariation of the underlying multivariate volatility process which impacts on both the size and power of the associated co-integration tests, as we demonstrate numerically. A solution to the identified inference problem is provided by considering wild bootstrap-based implementations of the rank tests. These do not require the practitioner to specify a parametric model for volatility, or to assume that the pattern of volatility is common to, or independent across, the vector of series under analysis. The bootstrap is shown to perform very well in practice.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 158, Issue 1, September 2010, Pages 7-24
نویسندگان
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