A New Nonparametric Test of Cointegration Rank

This paper suggests a new nonparametric testing procedure for determining the rank of nonstationary multivariate cointegrated systems. The asymptotic properties of the procedure are determined and a Monte Carlo study is carried out

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Year of publication:	2003
Authors:	Kapetanios, George
Publisher:	[S.l.] : SSRN
Subject:	Kointegration \| Cointegration \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Theorie \| Theory \| Schätzung \| Estimation \| Statistischer Test \| Statistical test

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Extent:	1 Online-Ressource (17 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 2003 erstellt
Other identifiers:	10.2139/ssrn.370021 [DOI]
Classification:	C32 - Time-Series Models ; C14 - Semiparametric and Nonparametric Methods
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014093432