A test procedure based on ranks is suggested to test for nonlinear cointegration. For two (or more) time series it is … is no cointegration between the time series, the sequences of ranks tend to diverge, whereas under cointegration the … perform better than their parametric competitors. To test for nonlinear cointegration a variable addition test based on ranks …

cointegration tests are applied to the adjusted series. The resulting tests are shown to have known limiting null distributions … of cointegrating relations in a German money demand system. …

to construct a confidence set for the cointegration rank. As the latter test, our tests are based on the eigenvalues of a … to Johansen's LR tests for determining the cointegration rank. …

The impact of the choice of the lag length on tests for the number of cointegration relations in a vector … simulation study we find that small sample power and size of LR cointegration tests strongly depend on the choice of the lag …

rate and shows the interaction of the main variables of the monetary sector. -- Cointegration analysis ; impulse response … analysis ; monetary policy ; money demand ; structural vector error correction model …

The concept of integrated stochastic processes is widely used in empirical macroeconomics; and cointegration analysis … applied to explore the relationship between money and prices. The leading indicator property of money for prices, money demand … considerable empirical method for extracting information from monetary aggregates for monetary policy purposes. -- cointegration …