We analyze the properties of the conventional Gaussian-based cointegrating rank tests of Johansen (1996, Likelihood-Based Inference in Cointegrated Vector Autoregressive Models) in the case where the vector of series under test is driven by globally stationary, conditionally heteroskedastic...

Although considerable attention has recently been paid to the behavior of the maximum likelihood estimator of simple moving average models, little progress has been made in finding a good approximation to its distribution in cases where the process is close to being noninvertible. In this paper...

We note that likelihood inference can be based on an unbiased simulation-based estimator of the likelihood when it is used inside a Metropolis–Hastings algorithm. This result has recently been introduced in statistics literature by Andrieu, Doucet, and Holenstein (2010, <italic>Journal of the Royal...</italic>