Cointegrated VAR model with GARCH errors

[abi]

Hi, Tom

Is there a RATS code to replicate Cointegrated VAR model with GARCH errors based on Rahbek et al. (2002), ARCH Innovations and their impact on cointegration rank testing. Preprint no. 12, 1998, Department of Theoretical Statistics. Working paper no. 22, Centre for Analytical Finance.

Regards

[TomDoan]

Isn't the whole point of that that the standard Johansen tests are robust to GARCH errors?

[abi]

Thank you Tom for quick reply.

Actually the authors have shown that the cointegration rank test are robust against moderate residual ARCH effects.