13-187/III - Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions

• Authors
  H. Peter Boswijk, University of Amsterdam; Giuseppe Cavaliere, University of Bologna, Italy; Anders Rahbek, University of Copenhagen, Denmark, and CREATES; A. M. Robert Taylor, University of Essex, United Kingdom
• Publication date
  November 19, 2013

• Keywords
  Co-integration, adjustment coefficients, (un)conditional heteroskedasticity, heteroskedasticity-robust inference, wild bootstrap
• JEL
  C30, C32