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Title:A new nonparametric test of cointegration rank PDF Logo
Authors:Kapetanios, George
Issue Date: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
Appears in Collections:Working Paper Series, School of Economics and Finance, Queen Mary, University of London

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