This paper provides an extensive Monte-Carlo comparison of severalcontemporary cointegration tests. Apart from the … estimation or semi-nonparametric density approximations. Thecomparison is completed with a fully nonparametric cointegration test …

and the fractional cointegration vector robust to low frequency contaminations. This estimator as many other local Whittle … based procedures requires a priori knowledge of the cointegration rank. Since low frequency contaminations bias inference on … the cointegration rank, we also provide a robust estimator of the cointegration rank. As both estimators are based on the …

size distortions in conventional cointegration tests, which may be resolved using the wild bootstrap, as shown by Cavaliere …

There are various competing procedures to determine whether fractional cointegration is present in a multivariate time …

sympathetic with semiparametric estimation approaches to cointegration analysis. Some simulations results on nite sample …

This paper provides locally optimal pseudo-Gaussian and rank-based tests for the cointegration rank in linear …