@article{OrregaardNielsen:273650,
      recid = {273650},
      author = {Orregaard Nielsen, Morten},
      title = {Nonparametric Cointegration Analysis of Fractional Systems  With Unknown Integration Orders},
      address = {2008-07},
      number = {2110-2018-4299},
      series = {Working Paper No. 1174},
      pages = {38},
      year = {2008},
      abstract = {In this paper a nonparametric variance ratio testing  approach is proposed for determining the cointegration rank  in fractionally integrated systems. The test statistic is  easily calculated without prior knowledge of the  integration order of the data, the strength of the  cointegrating relations, or the cointegration vector(s).  The latter property makes it easier to implement than  regression-based approaches, especially when examining  relationships between several variables with possibly  multiple cointegrating vectors. Since the test is  nonparametric, it does not require the speci…cation of a  particular model and is invariant to short-run dynamics.  Nor does it require the choice of any smoothing parameters  that change the test statistic without being re‡ected in  the asymptotic distribution. Furthermore, a consistent  estimator of the cointegration space can be obtained from  the procedure. The asymptotic distribution theory for the  proposed test is non-standard but easily tabulated or  simulated. Monte Carlo simulations demonstrate excellent  …nite sample properties, even rivaling those of  well-speci…ed parametric tests. The proposed methodology is  applied to the term structure of interest rates, where,  contrary to both fractional and integer-based parametric  approaches, evidence in favor of the expectations  hypothesis is found using the nonparametric approach.},
      url = {http://ageconsearch.umn.edu/record/273650},
      doi = {https://doi.org/10.22004/ag.econ.273650},
}