|
|||||
|
|
Garch effects on a test of cointegration |
|
| Authors: | Philip Hans Franses Paul Kofman James Moser |
| Affiliation: | (1) Econometric Institute, Erasmus University Rotterdam, P.O. Box 1738, 3000 DR Rotterdam, The Netherlands;(2) Department of Finance, Erasmus University Rotterdam, P.O. Box 1738, 3000 DR Rotterdam, The Netherlands;(3) Research Department, Federal Reserve Bank of Chicago, 230 S. LaSalle Ave., 60604-1413 Chicago, IL, USA |
| Abstract: | This article discusses the effects of GARCH type error processes on the use of the Engle and Granger cointegration test for two variables. Simulation results indicate that (nearly) integrated GARCH processes, as well as GARCH processes that are not covariance stationary, change the critical values. An application to testing for cointegration between spot and futures prices illustrates the practical relevance of using the appropriate critical values. |
| Keywords: | cointegration relations GARCH errors co-volatile |
| 本文献已被 SpringerLink 等数据库收录！ | |