Abstract Irrespective of the statistical model under study, the derivation of limits,in the Le Cam sense, of sequences of local experiments (see [7]-[10]) oftenfollows along very similar lines, essentially involving differentiability in quadraticmean of square roots of (conditional) densities....

This paper introduces rank-based tests for the cointegrating rank in an Error CorrectionModel with i.i.d. elliptical innovations. The tests are asymptotically distribution-free,and their validity does not depend on the actual distribution of the innovations. Thisresult holds despite the fact...

We propose a class of simple rank-based tests for the null hypothesis of a unit root. This class is indexed by the choice of a reference density g, which needs not coincide with the unknown actual innovation density f. The validity of these tests, in terms of exact finite sample size, is...