Rank tests for nonlinear cointegration

Jörg Breitung
A test procedure based on ranks is suggested to test for nonlinear cointegration. For two (or more) time series it is assumed that there exist monotonic transformations such that the normalised series can asymptotically be represented by independent Brownian motions. Rank test procedures based on the difference between the sequences of ranks are suggested. If there is no cointegration between the time series, the sequences of ranks tend to diverge, whereas under cointegration the sequences...
This data repository is not currently reporting usage information. For information on how your repository can submit usage information, please see our documentation.