Werker, Bas J.M.; Hallin, M.; van den Akker, R. - Tilburg University, Center for Economic Research - 2015
This paper provides locally optimal pseudo-Gaussian and rank-based tests for<br/>the cointegration rank in linear cointegrated error-correction models with i.i.d.<br/>elliptical innovations. The proposed tests are asymptotically distribution-free,<br/>hence their validity does not depend on the actual...