A New Nonparametric Test of Cointegration Rank

George Kapetanios

No 482, Working Papers from Queen Mary University of London, School of Economics and Finance

Abstract: This paper suggests a new nonparametric testing procedure for determining the rank of nonstationary multivariate cointegrated systems. The asymptotic properties of the procedure are determined and a Monte Carlo study is carried out.

Keywords: Cointegration rank; Nonparametric analysis (search for similar items in EconPapers)
JEL-codes: C14 C32 (search for similar items in EconPapers)
Date: 2003-01-01
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:qmw:qmwecw:482

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