Heteroskedastic cointegration
Open Access
- 1 October 1992
- journal article
- Published by Elsevier in Journal of Econometrics
- Vol. 54 (1-3) , 139-158
- https://doi.org/10.1016/0304-4076(92)90103-x
Abstract
No abstract availableKeywords
This publication has 18 references indexed in Scilit:
- Strong Laws for Dependent Heterogeneous ProcessesEconometric Theory, 1991
- EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSIONJournal of Time Series Analysis, 1988
- Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income HypothesisEconometrica, 1987
- Cointegration and Tests of Present Value ModelsJournal of Political Economy, 1987
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance MatrixEconometrica, 1987
- Co-Integration and Error Correction: Representation, Estimation, and TestingEconometrica, 1987
- Least Squares Regression with Integrated or Dynamic Regressors under Weak Error AssumptionsEconometric Theory, 1987
- A Functional Central Limit Theorem for Weakly Dependent Sequences of Random VariablesThe Annals of Probability, 1984
- Strong Consistency of Least Squares Estimates in Dynamic ModelsThe Annals of Statistics, 1979
- On Consistency in Time Series AnalysisThe Annals of Statistics, 1978