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Title:Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity Author(s):HERWARTZ, Helmut; LUETKEPOHL, Helmut
Date:2009Type:Working PaperSeries/Number:EUI ECO; 2009/42Abstract:In the presence of generalized conditional heteroscedasticity (GARCH) in the residuals of a vector error correction model (VECM), maximum likelihood (ML) estimation of the cointegration parameters has been shown to be ...
Date:2009Type:Working PaperSeries/Number:EUI ECO; 2009/42Abstract:In the presence of generalized conditional heteroscedasticity (GARCH) in the residuals of a vector error correction model (VECM), maximum likelihood (ML) estimation of the cointegration parameters has been shown to be ...