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

DOI10.1016/J.JECONOM.2015.08.003zbMATH Open1419.62230OpenAlexW1956189968MaRDI QIDQ894635FDOQ894635

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

semiparametric efficiencyrank testscointegration ranklocal asymptotic normalityerror-correction modelLagrange multiplier testmultivariate rankslocal asymptotic mixed normalityelliptical densitiescointegration modellocal asymptotic Brownian functionalquasi-likelihood procedures

Mathematics Subject Classification ID

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

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Cited In (4)

• A unifying theory of tests of rank
• Semiparametrically optimal cointegration test
• Inference in Heavy-Tailed Nonstationary Multivariate Time Series
• A simple R-estimation method for semiparametric duration models

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