Werker, Bas J.M.; Hallin, M.; van den Akker, R. - Tilburg University, Center for Economic Research - 2012
Abstract: This paper introduces rank-based tests for the cointegrating rank in an Error Correction Model 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. This result holds despite...