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Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models

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  • Hallin, M.
  • Werker, B.J.M.

    (Tilburg University, School of Economics and Management)

  • van den Akker, R.

    (Tilburg University, School of Economics and Management)

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  • Hallin, M. & Werker, B.J.M. & van den Akker, R., 2015. "Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models," Other publications TiSEM d1b040c9-db57-4e55-846f-4, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:d1b040c9-db57-4e55-846f-44e7cc614771
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    1. Marc Hallin & Ramon van den Akker & Bas Werker, 2009. "A class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests," Working Papers ECARES 2009_001, ULB -- Universite Libre de Bruxelles.
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    3. Marc Hallin & Ramon van den Akker & Bas Werker, 2013. "On Quadratic Expansions of Log-Likelihoods and a General Asymptotic Linearity Result," Working Papers ECARES ECARES 2013-34, ULB -- Universite Libre de Bruxelles.
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    10. Marc Hallin & Davy Paindaveine & Thomas Verdebout, 2009. "Optimal rank-based testing for principal component," Working Papers ECARES 2009_013, ULB -- Universite Libre de Bruxelles.
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    26. Hallin, Marc & van den Akker, Ramon & Werker, Bas J.M., 2011. "A class of simple distribution-free rank-based unit root tests," Journal of Econometrics, Elsevier, vol. 163(2), pages 200-214, August.
    27. MacKinnon, James G & Haug, Alfred A & Michelis, Leo, 1999. "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 563-577, Sept.-Oct.
    28. Michael Jansson, 2008. "Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 76(5), pages 1103-1142, September.
    29. Marc Hallin & Bas Werker, 2003. "Semiparametric efficiency, distribution-freeness, and invariance," ULB Institutional Repository 2013/2119, ULB -- Universite Libre de Bruxelles.
    30. Marc Hallin & Chintan Mehta, 2015. "R -Estimation for Asymmetric Independent Component Analysis," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(509), pages 218-232, March.
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    43. Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2009. "The asymptotic structure of nearly unstable non negative integer-valued AR(1) models," Other publications TiSEM ac0494ae-7a32-43ca-b5b4-d, Tilburg University, School of Economics and Management.
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