The influence of volatility and endogeneity in economic time series on cointegration analysis

本研究考察了异方差和内生性对协整分析的影响。我们证明，与包括标准协整检验在内的其他检验相比，在大多数异方差和内生性的情况下，方差比协整检验产生合理的经验大小。虽然调整阈值的协整检验在异方差和内生性下存在大小失真，但在大多数具有非线性的协整关系下，它通常具有更好的功率性能。

This research investigated the influence of heteroskedastic variances and endogeneity on cointegration analysis. We demonstrated that a variance ratio cointegration test yields reasonable empirical sizes under most cases of heteroskedastic variances and endogeneity, as compared to other tests including standard cointegration tests. While the cointegration test with threshold adjustment has size distortions under heteroskedastic variances and endogeneity, it generally has better power performance under most cointegration relationships with nonlinearity.