Reduced rank regression (RRR) models with time varying heterogeneity are considered. Standard information criteria for selecting cointegrating rank are shown to be weakly consistent in semiparametric RRR models in which the errors have general nonparametric short memory components and shifting...

Ridder and Woutersen (2003) have shown that under a weak condition on the baseline hazard there exist root-N consistent estimators of the parameters in a semiparametric Mixed Proportional Hazard model with a parametric baseline hazard and unspecified distribution of the unobserved heterogeneity....

This paper generalizes the locally optimal linear rank test based on copula from Shirahata (1974) resp. Guillén and Isabel (1998) and Genest et al. (2006) to p dimensions and introduces a new X2-type test for global independence (Nelsen test). The test is compared to similar nonparametric tests...