Similar Search Results

On the formulation of Wald tests on long-run parameters

Boswijk, Herman Peter - In: Oxford bulletin of economics and statistics 55 (1993) 1, pp. 137-144

Persistent link: https://www.econbiz.de/10001139541

Identifiability of cointegrated systems

Boswijk, Herman Peter - 1995

Persistent link: https://www.econbiz.de/10000909278

Mixed normality and ancillarity in (2) systems

Boswijk, Herman Peter - 1996

Persistent link: https://www.econbiz.de/10000942649

Block local to unity and continous record asymptotics

Boswijk, Herman Peter - 2001

Persistent link: https://www.econbiz.de/10001616911

Testing for a unit root with near-integrated volatility

Boswijk, Herman Peter - 2001 - Rev.

This paper considers tests for a unit root when the innovations follow a near-integrated GARCH process. We compare the asymptotic properties of the likelihoodratio statistic with that of the least-squares based Dickey-Fuller statistic. We first useasymptotics where the GARCH variance process is...

Persistent link: https://www.econbiz.de/10011317451