Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models

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

No 2015-001, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: Cointegration model; Cointegration rank; Elliptical densities; erro-correction model; Lagrange multiplier test; Local Asymptotic Brownian Functional; Local Asymptotic Mixed Normality; Local Asymptotic Normality; Multivariate ranks; quasi-likelihood procedures (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-ecm
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Working Paper: Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models (2015)
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