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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 482
- Classification
-
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
- Subject
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Cointegration rank, Nonparametric analysis
Kointegration
Nichtparametrisches Verfahren
Ranking-Verfahren
- Event
-
Geistige Schöpfung
- (who)
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Kapetanios, George
- Event
-
Veröffentlichung
- (who)
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Queen Mary University of London, Department of Economics
- (where)
-
London
- (when)
-
2003
- Handle
- Last update
- 10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Kapetanios, George
- Queen Mary University of London, Department of Economics
Time of origin
- 2003
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