In this paper we study further the asymptotic power properties of the integrated conditional moment (ICM) test of Bierens (1982) and Bierens and Ploberger (1994). First, we establish the relation between consistency against global alternatives and nontrivial local power, using the concept of...

In this paper we derive the asymptotic distribution of the test statistic of a generalized version of the integrated conditional moment (ICM) test of Bierens (1982, 1984), under a class of Vn-local alternatives, where n is the sample size. The generalized version involved includes neural network...

Given the assumption that the components of a vector time series are stationary about nonlinear deterministic time trends, nonlinear co-trending is the phenomenon that one or more linear combinations of the time series are stationary about a linear trend, hence the series have common nonlinear...

In this paper we propose consistent cointegration tests, and estimators of a basis of the space of cointegrating vectors, that do not need specification of the data-generating process, apart from some mild regularity conditions, or estimation of structural and/or nuisance parameters. This...