In this paper a nonparametric variance ratio testing approach is proposed for determining the cointegration rank in … data, the strength of the cointegrating relations, or the cointegration vector(s). The latter property makes it easier to … statistic without being reflected in the asymptotic distribution. Furthermore, a consistent estimator of the cointegration space …

This paper investigates the finite-sample properties of the smooth transition-based cointegration test proposed by … cointegration and globally stationary D-LSTR cointegration under the alternative. As a result of the identification problem the …