No. 482: A New Nonparametric Test of Cointegration Rank
George Kapetanios ,
Queen Mary, University of London
January 1, 2003
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.
J.E.L classification codes: C32, C14
Keywords:Cointegration rank, Nonparametric analysis