Hallin, Marc; van den Akker, Ramon; Werker, Bas - European Centre for Advanced Research in Economics and … - 2012
This paper introduces rank-based tests for the cointegrating rank in an Error CorrectionModel with i.i.d. elliptical innovations. The tests are asymptotically distribution-free,and their validity does not depend on the actual distribution of the innovations. Thisresult holds despite the fact...