A test procedure based on ranks is suggested to test for nonlinear cointegration. For two (or more) time series it is … is no cointegration between the time series, the sequences of ranks tend to diverge, whereas under cointegration the … perform better than their parametric competitors. To test for nonlinear cointegration a variable addition test based on ranks …

cointegration tests are applied to the adjusted series. The resulting tests are shown to have known limiting null distributions …

to construct a confidence set for the cointegration rank. As the latter test, our tests are based on the eigenvalues of a … to Johansen's LR tests for determining the cointegration rank. …

the cointegration rank in the spirit of Johansen (1988). …

An introduction to vector autoregressive (VAR) analysis is given with special emphasis on cointegration. The models … decompositions are presented as tools for analyzing VAR models. -- Cointegration ; forecasting ; dynamic econometric models ; impulse …