Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62825
Authors: 
Kapetanios, George
Year of Publication: 
2003
Series/Report no.: 
Working Paper, Department of Economics, Queen Mary, University of London 482
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.
Subjects: 
Cointegration rank, Nonparametric analysis
JEL: 
C32
C14
Document Type: 
Working Paper

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