This paper provides locally optimal pseudo-Gaussian and rank-based tests for the cointegration rank in linear cointegrated error-correction models with i.i.d. elliptical innovations. The proposed tests are asymptotically distribution-free, hence their validity does not depend on the actual...

Haugh [Journal of the American Statistical Association (1976) Vol. 71, pp. 378-85] developed an approach to the problem of testing non-correlation (at all leads and lags) between two univariate time series. Haugh's tests, however, have low power against two series which are related over a long...