The effect of non-normal disturbances and conditional heteroskedasticity on multiple cointegration tests

Journal of Statistical Computation and Simulation

Volumn 65, Issue 2, 2000, Pages 173-189

  Silvapulle, Param Sothy ^a   Podivinsky, Jan M ^b  

^a MONASH UNIVERSITY   (Australia)

^b UNIVERSITY OF SOUTHAMPTON   (United Kingdom)

Author keywords

ARCH; Cointegration; Conditional heteroskedasticity; GARCH; Non normal errors; Testing

Indexed keywords

EID: 0034349008     PISSN: 00949655     EISSN: None     Source Type: Journal    
DOI: 10.1080/00949650008811997     Document Type: Article

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