A New Nonparametric Test of Cointegration Rank

This paper suggests a new nonparametric testing procedure for determining the rank of nonstationary multivariate cointegrated systems. The asymptotic properties of the procedure are determined and a Monte Carlo study is carried out

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Year of publication:	2003
Authors:	Kapetanios, George
Publisher:	[S.l.] : SSRN
Subject:	Kointegration \| Cointegration \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Ranking-Verfahren \| Ranking method \| Theorie \| Theory

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