Semiparametric error-correction models for cointegration with trends: pseudo-Gaussian and optimal rank-based tests of the cointegration rank

DOI10.1016/j.jeconom.2015.08.003zbMath1419.62230OpenAlexW1956189968MaRDI QIDQ894635

Bas J. M. Werker, Ramon van den Akker, Marc Hallin

Publication date: 2 December 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.08.003

zbMATH Keywords

rank testslocal asymptotic normalitymultivariate rankslocal asymptotic mixed normalitysemiparametric efficiencycointegration rankLagrange multiplier testerror-correction modelelliptical densitiescointegration modellocal asymptotic Brownian functionalquasi-likelihood procedures

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Hypothesis testing in multivariate analysis (62H15)

Related Items (3)

A unifying theory of tests of rank ⋮ Inference in Heavy-Tailed Nonstationary Multivariate Time Series ⋮ A simple R-estimation method for semiparametric duration models

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