A New Nonparametric Test of Cointegration Rank
نویسنده
چکیده
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.
منابع مشابه
Bootstrap and fast double bootstrap tests of cointegration rank with financial time series
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