COINTEGRATION TESTS WITH CONDITIONAL HETEROSKEDASTICITY

Authors
LEE TH TSE Y
Citation
Th. Lee et Y. Tse, COINTEGRATION TESTS WITH CONDITIONAL HETEROSKEDASTICITY, Journal of econometrics, 73(2), 1996, pp. 401-410
Citations number
27
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences","Mathematics, Miscellaneous
Journal title
Journal of econometrics → ACNP
ISSN journal
03044076
Volume
73
Issue
2
Year of publication
1996
Pages
401 - 410
Database
ISI
SICI code
0304-4076(1996)73:2<401:CTWCH>2.0.ZU;2-F
Abstract
We examine the performance of Johansen's (1988) likelihood ratio tests for cointegration in the presence of GARCH and compare with other coi ntegration 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.