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A New Nonparametric Test of Cointegration Rank

Author

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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.

Suggested Citation

  • George Kapetanios, 2003. "A New Nonparametric Test of Cointegration Rank," Working Papers 482, Queen Mary University of London, School of Economics and Finance.
    • Handle: RePEc:qmw:qmwecw:482
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    File URL: https://www.qmul.ac.uk/sef/media/econ/research/workingpapers/2003/items/wp482.pdf
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    References listed on IDEAS

    as
    1. Shintani, Mototsugu, 2001. "A simple cointegrating rank test without vector autoregression," Journal of Econometrics, Elsevier, vol. 105(2), pages 337-362, December.
    2. Davidson, James, 1994. "Stochastic Limit Theory: An Introduction for Econometricians," OUP Catalogue, Oxford University Press, number 9780198774037.
    3. Camba-Méndez, Gonzalo & Kapetanios, George, 2001. "Testing the rank of the Hankel matrix: a statistical approach," Working Paper Series 45, European Central Bank.
    4. Robin, Jean-Marc & Smith, Richard J., 2000. "Tests Of Rank," Econometric Theory, Cambridge University Press, vol. 16(2), pages 151-175, April.
    5. 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.
    6. 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.
    7. Bierens, Herman J., 1997. "Nonparametric cointegration analysis," Journal of Econometrics, Elsevier, vol. 77(2), pages 379-404, April.
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    Citations

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    Cited by:

    1. 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.

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    More about this item

    Keywords

    Cointegration rank; Nonparametric analysis;

    JEL classification:

    • 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

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