In this paper a Canonical Correlation Analysis (CCA) is used to test the hypothesis r = r0 against the alternative r … 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. …

(Brown et al., 1975) to serial correlation, endogeneity and lack of structural invariance. Our findings suggest that these … tests perform better in the context of a dynamic model of the ADL type, which is not affected by serial correlation or …, whether a stationary or a cointegration environment is considered. The CUSUM-of-squares test is to be preferred, as it is very …

We consider VAR models for variables exhibiting cointegration and comon cyclical features. While the presence of … cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short …