Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity

Journal of Econometrics

Volumn 137, Issue 1, 2007, Pages 68-111

  Seo, Byeongseon ^a  

^a Soongsil University   (South Korea)

Author keywords

Cointegrating vector; Efficiency gain; Multivariate GARCH

Indexed keywords

COMPUTER SIMULATION; ERROR CORRECTION; MULTIVARIABLE SYSTEMS; REGRESSION ANALYSIS; VECTOR QUANTIZATION;

ASYMPTOTIC DISTRIBUTION; COINTEGRATING VECTOR ESTIMATOR; EFFICIENCY GAIN; HETEROSKEDASTICITY;

ASYMPTOTIC STABILITY;

EID: 33846487372     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2006.03.008     Document Type: Article

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