Practical problems with tests of cointegration rank with strong persistence and heavy-tailed errors

Niklas Ahlgren, Paul Catani

Research output: Chapter in Book/Report/Conference proceedingConference contributionScientific

Original languageEnglish
Title of host publicationNordstat 2018 : 27th Nordic Conference in Mathematical Statistics
Number of pages1
Place of PublicationTartu
PublisherUniversity of Tartu
Publication date26.06.2018
ISBN (Print)978-9949-77-786-0
Publication statusPublished - 26.06.2018
MoE publication typeB3 Article in conference proceedings


  • 112 Statistics and probability
  • cointegration
  • conditional heteroskedasticity
  • heavy tails
  • Monte Carlo simulation
  • wild bootstrap

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