Yang Zu

University of Nottingham - School of Economics

University Park

Nottingham, NG7 2RD

United Kingdom

  • University of Nottingham - School of Economics

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Adaptive Testing for Cointegration with Nonstationary Volatility

Tinbergen Institute Discussion Paper 2019-043/III
Number of pages: 37 Posted: 26 Jun 2019
H. Peter Boswijk and Yang Zu
Amsterdam School of Economics and University of Nottingham - School of Economics
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Abstract:

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Adaptive estimation, Nonparametric volatility estimation, Wild bootstrap