Determining the co-integrating rank of a system of variables has become a fundamental aspect of applied research in macroeconomics and finance. It is wellknown that standard asymptotic likelihood ratio tests for co-integration rank of Johansen (1996) can be unreliable in small samples with...

Determining the co-integrating rank of a system of variables has become a fundamental aspect of applied research in macroeconomics and finance. It is wellknown that standard asymptotic likelihood ratio tests for co-integration rank of Johansen (1996) can be unreliable in small samples with...

A CUSUM type test for constant correlation that goes beyond a previously suggested correlation constancy test by considering Spearman’s rho in arbitrary dimensions is proposed. Since the new test does not require the existence of any moments, the applicability on usually heavy-tailed financial...

Recently, Mukherjee and Bandyopadhyay (J Stat Plan Inference, <CitationRef CitationID="CR28">2011</CitationRef>, doi:<ExternalRef> <RefSource>10.1016/j.jspi.2011.02.017</RefSource> <RefTarget Address="10.1016/j.jspi.2011.02.017" TargetType="DOI"/> </ExternalRef>) introduced some partially sequential tests for detecting liner trend among the incoming series of observations when a training sample is available a-priori. Their work is very useful in...</refsource></externalref></citationref>