Rank-based Tests of the Cointegrating Rank in Semiparametric Error Correction Models

Marc Hallin, R. van den Akker and Bas Werker
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R. van den Akker: Tilburg University, Center For Economic Research

No 2012-089, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: Cointegration model; Cointegration rank; Elliptical densities; Error correction model; Lagrange multiplier test; Local Asymptotic Brownian Functional; Local Asymptotic Mixed Normality; Local Asymptotic Normality; Multivariate ranks; non-Gaussian Quasi-Likelihood Procedures (search for similar items in EconPapers)
Date: 2012
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Working Paper: Rank-Based Tests of the Cointegrating Rank in Semiparametric Error Correction Models (2012)
Working Paper: Rank-based Tests of the Cointegrating Rank in Semiparametric Error Correction Models (2012)
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