No. 482: A New Nonparametric Test of Cointegration Rank

George Kapetanios , Queen Mary, University of London

January 1, 2003

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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.

J.E.L classification codes: C32, C14

Keywords:Cointegration rank, Nonparametric analysis