NEWS & TOPICS
第32回先端経済研究センター研究会のお知らせ（10月23日）
日 時：2009年10月23日（金）15時〜16時30分
場 所：福岡大学 文系センター15階 第六会議室
発表者：福岡大学経済学部准教授 栗田高光
Title：Impacts of Multivariate GARCH Innovations on Hypothesis Testing for Cointegrating Vectors
Abstract:
This paper investigates impacts of multivariate generalised autoregressive
conditional heteroskedasticity (GARCH) errors on hypothesis testing for
cointegratingvectors. The study reviews a cointegrated vector
autoregressive model incorporating multivariate GARCH innovations and a
regularity condition required for valid asymptotic inferences. Monte Carlo
experiments are then conducted on a test statistic for a hypothesis on the
cointegrating vectors. The experiments demonstrate that the regularity
condition plays a crucial role in rendering the hypothesis testing
operational. It is also shown that the Bartlett correction and wild
bootstrapping are useful in improving the small-sample performance of the
test statistic of interest.
Key Words: Cointegrating Vector, Multivariate GARCH, Monte Carlo Experi-
ment, Bartlett Correction, Wild Bootstrapping.
論文本文は、CAES Working Paper Series 2009-006となります。
以下のページをご覧下さい。
http://www.econ.fukuoka-u.ac.jp/researchcenter/workingpapers/WP-2009-006.pdf