Rank Tests for Nonlinear Cointegration
- 1 July 2001
- journal article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 19 (3) , 331-340
- https://doi.org/10.1198/073500101681019981
Abstract
A test procedure based on ranks is suggested to test for nonlinear cointegration. For two (or more) time series it is assumed that monotonic transformations exist such that the normalized series ca...Keywords
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