COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY

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Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models (2014, methodology): “As was seen for the i.i.d. cases A and B, the bootstrap LR tests Q ;iid0;T and Q ;w 0;T have much better size than the corresponding bootstrap tests of Swensen (2006), ~Q ,iid0;T , and Cavaliere et al. (2010a, 2010b), ~Q ,w0;T .”
Unit root vector autoregression with volatility induced stationarity (2014, unknown): “Note finally, that it seems likely that due to the complications of such further added parameters, one should apply bootstrapping rather than classic asymptotic inference, as also used in Cavaliere, Rahbek and Taylor (2010, 2012) for co-integration analysis under heteroscedasticity.”
Investor sentiment aligned: : A powerful predictor of stock returns (2015, methodology): “The resampling scheme for the wild bootstrap is based on Cavaliere, Rahbek, and Taylor (2010), which is a multiequation extension of the time-series wild bootstrap.”