Arbeitspapier
A new nonparametric test of cointegration rank
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 482
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Semiparametric and Nonparametric Methods: General
- Thema
-
Cointegration rank, Nonparametric analysis
Kointegration
Nichtparametrisches Verfahren
Ranking-Verfahren
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kapetanios, George
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen Mary University of London, Department of Economics
- (wo)
-
London
- (wann)
-
2003
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kapetanios, George
- Queen Mary University of London, Department of Economics
Entstanden
- 2003
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