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...

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....

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...

Macroeconometric data often come under the form of large panels of time series, themselves decomposing into smaller but still quite large subpanels or blocks. We show how the dynamic factor analysis method proposed in Forni et al (2000), combined with the identification method of Hallin and...

Factor model methods recently have become extremely popular in the theory and practice of large panels of time series data. Those methods rely on various factor models which all are particular cases of the Generalized Dynamic Factor Model (GDFM) introduced in Forni, Hallin, Lippi and Reichlin...

This paper studies the asymptotic power of tests of sphericity against perturbations in a single unknown direction as both the dimensionality of the data and the number of observations go to infinity. We establish the convergence, under the null hypothesis and the alternative, of the log ratio...

We propose new concepts of statistical depth, multivariate quantiles,ranks and signs, based on canonical transportation maps between a distributionof interest on IRd and a reference distribution on the d-dimensionalunit ball. The new depth concept, called Monge-Kantorovich depth, specializesto...

This paper provides optimal testing procedures for the m-sample null hypothesis of Common Principal Components (CPC) under possibly non Gaussian and heterogenous elliptical densities. We first establish, under very mild assumptions that do not require finite moments of order four, the local...

In this paper we present an alternative method for the spectral analysis of a strictly stationary time series {Yt}t2Z. We define a “new” spectrum as the Fourier transform of the differences between copulas of the pairs (Yt, Yt−k) and the independence copula. This object is called copula...

A new quantile regression concept, based on a directional version of Koenker and Bassett’s traditional single-output one, has been introduced in [Hallin, Paindaveine and ¡Siman, Annals of Statistics 2010, 635-703] for multiple-output regression problems. The polyhedral contours provided by...