
doi: 10.1007/bf01082662
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.
EUR ESE 11
EUR ESE 11
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