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2006-03-10Buch DOI: 10.18452/3753
Rank tests for nonlinear cointegration
dc.contributor.authorBreitung, Jörg
dc.date.accessioned2017-06-15T22:00:54Z
dc.date.available2017-06-15T22:00:54Z
dc.date.created2006-03-10
dc.date.issued2006-03-10
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4405
dc.description.abstractA 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 of ranks evolve similarly. Monte Carlo simulations suggest that for a wide range of nonlinear models the rank tests perform better than their parametric competitors. To test for nonlinear cointegration a variable addition test based on ranks is suggested. As empirical illustrations we consider the term structure of interest rates. Only weak evidence for a nonlinear long run relationship between interest yields of bonds with different time to maturity is found.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectunit rootseng
dc.subjectnonlinear cointegrationeng
dc.subjectrank testeng
dc.subjectarcsine distributioneng
dc.subject.ddc330 Wirtschaft
dc.titleRank tests for nonlinear cointegration
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10060072
dc.identifier.doihttp://dx.doi.org/10.18452/3753
dc.subject.dnb17 Wirtschaft
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.pages28
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume1998
local.edoc.container-issue65
local.edoc.container-year1998
local.edoc.container-erstkatid2135319-0

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