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Rank-Based Tests of the Cointegrating Rank in Semiparametric Error Correction Models

par Hallin, Marc ;van den Akker, Ramon;Werker, Bas
Publication Publié, 2012-11

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Titre:	Rank-Based Tests of the Cointegrating Rank in Semiparametric Error Correction Models
Auteur:	Hallin, Marc; van den Akker, Ramon; Werker, Bas
Statut de publication:	Publié, 2012-11
series:	ECARES Working Papers, ECARES 2012-042
Sujet CREF:	Economie
Sujet JEL:	Semiparametric and Nonparametric Methods
	Multiple or Simultaneous Equation Models: Time-Series Models
Volumes/pages:	76 p.
Mots-clés:	Cointegration model
	Cointegration Rank
	Elliptical densities
	error correction model
	Lagrange Multiplier test
	local asymptotic Brownian Functional
	Local asymptotic Mixed Normality
	Local asymptotic Normality
	Multivariate Ranks
	non-Gaussian Quasi-Likelihood Procedures
Langue:	Anglais
Identificateurs:	RePEc:eca:wpaper:2013/132503