A New Nonparametric Test of Cointegration Rank
نویسندگان
چکیده
منابع مشابه
A New Nonparametric Test of Cointegration Rank
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.
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2003
ISSN: 1556-5068
DOI: 10.2139/ssrn.370021