A New Nonparametric Test of Cointegration Rank
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References listed on IDEAS
- Saikkonen, Pentti & Luukkonen, Ritva, 1997. "Testing cointegration in infinite order vector autoregressive processes," Journal of Econometrics, Elsevier, vol. 81(1), pages 93-126, November.
- Banerjee, Anindya & Dolado, Juan J. & Galbraith, John W. & Hendry, David, 1993. "Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data," OUP Catalogue, Oxford University Press, number 9780198288107.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Georgios Chortareas & George Kapetanios, 2013.
"How Puzzling Is The Ppp Puzzle? An Alternative Half‐Life Measure Of Convergence To Ppp,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 28(3), pages 435-457, April.
- Georgios Chortareas & George Kapetanios, 2004. "How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of Convergence to PPP," Working Papers 522, Queen Mary University of London, School of Economics and Finance.
- Georgios Chortareas & George Kapetanios, 2005. "How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of convergence to PPP," Money Macro and Finance (MMF) Research Group Conference 2005 36, Money Macro and Finance Research Group.
More about this item
KeywordsCointegration rank; Nonparametric analysis;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-01-19 (All new papers)
- NEP-ECM-2003-01-19 (Econometrics)
- NEP-ETS-2003-01-19 (Econometric Time Series)
- NEP-RMG-2003-01-19 (Risk Management)
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