Eco 2009/42 Department of Economics Generalized Least Squares Estimation for Cointegration Parameters under Conditional Heteroskedasticity

@inproceedings{Herwartz2009Eco2D,
  title={Eco 2009/42 Department of Economics Generalized Least Squares Estimation for Cointegration Parameters under Conditional Heteroskedasticity},
  author={Helmut Herwartz and Helmut L{\"u}tkepohl},
  year={2009}
}
In the presence of generalized conditional heteroscedasticity (GARCH) in the residuals of a vector error correction model (VECM), maximum likelihood (ML) estimation of the cointegration parameters has been shown to be efficient. On the other hand, full ML estimation of VECMs with GARCH residuals is computationally difficult and may not be feasible for… CONTINUE READING