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Conditional heteroskedasticity-robust testing for cointegration
Byeongseon Seo
Department of Food and Resource Economics
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Business & Economics
Cointegration
100%
Conditional Heteroskedasticity
79%
Wald Test
76%
Testing
48%
Likelihood Ratio
44%
Innovation
42%
Robustness Test
35%
Conditional Volatility
34%
Asymptotic Distribution
33%
Vector Autoregressive Model
31%
Test Statistic
30%
Cointegration Test
29%
Stylized Facts
29%
Performance
21%
Simulation
19%