Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity

Helmut Herwartz and Helmut Lütkepohl ()

Journal of Time Series Analysis, 2011, vol. 32, issue 3, pages 281-291

Date: 2011
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Working Paper: Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity (2009)
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