A Simple Cointegrating Rank Test Without Vector Autoregression

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dc.contributor.authorShintani, Mototsugu
dc.date.accessioned2020-09-13T18:10:36Z
dc.date.available2020-09-13T18:10:36Z
dc.date.issued2000
dc.description.abstractThis paper proposes a fully nonparametric test for cointegrating rank which does not require estimation of a vector autoregressive model. The test exploits the fact that the degeneracy in the moment matrix of the variables with mixed integration order corresponds to the notion of cointegration. With an appropriate standardization, the test statistics are shown to have a nuisance parameter free limiting distribution and to be consistent under reasonable conditions. Monte Carlo experiments also suggest that the performance of the test is satisfactory with a moderate sample size. The proposed tests are applied to the stochastic growth model using the U.S. aggregate data.
dc.description.departmentEconomics
dc.identifier.urihttp://hdl.handle.net/1803/15657
dc.language.isoen_US
dc.publisherVanderbilt Universityen
dc.subject.other
dc.titleA Simple Cointegrating Rank Test Without Vector Autoregression
dc.typeWorking Paperen
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