This paper provides a further generalization of co-integration tests in a nonparametric setting. We adopt Bierens' approach in order to give an extension for processes I(d), with a fixed integer d. A generalized eigenvalue problem is solved, and the test statistics involved are obtained starting...

The aim of this paper is to provide a new perspective on the nonparametric co-integration analysis for integrated processes of the second order. Our analysis focus on a pair of random matrices related to such integrated process. Such matrices are constructed by introducing some weight functions....