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A New Nonparametric Test of Cointegration Rank

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  • George Kapetanios

    ()
    (Queen Mary, University of London)

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.

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File URL: http://www.econ.qmul.ac.uk/papers/doc/wp482.pdf
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Bibliographic Info

Paper provided by Queen Mary, University of London, School of Economics and Finance in its series Working Papers with number 482.

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Date of creation: Jan 2003
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Handle: RePEc:qmw:qmwecw:wp482

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Keywords: Cointegration rank; Nonparametric analysis;

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  1. Poskitt, Don S, 2000. "Strongly Consistent Determination of Cointegrating Rank via Canonical Correlations," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 77-90, January.
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