Title of article
Cointegration tests with conditional heteroskedasticity
Author/Authors
Lee، نويسنده , , Tae-Hwy and Tse، نويسنده , , Yiuman Tse، نويسنده ,
Issue Information
دوفصلنامه با شماره پیاپی سال 1996
Pages
10
From page
401
To page
410
Abstract
We examine the performance of Johansenʹs (1988) likelihood ratio tests for cointegration in the presence of GARCH and compare with other cointegration tests. The tests tend to overreject the null hypothesis of no cointegration in favor of finding cointegration, but the problem is generally not very serious.
Keywords
Cointegration test , GARCH
Journal title
Journal of Econometrics
Serial Year
1996
Journal title
Journal of Econometrics
Record number
1556602
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