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I am not very comfortable with the (parametric) assumptions made in cointegration analysis. I have recently found that there is a way to carry out nonparametric conintegration analysis (a google search with the term 'nonparametric cointegration' yields several results).

Is anyone aware of an R package that allows for nonparametric cointegration analysis?

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Perhaps of some interest: Link – user10525 Apr 27 '12 at 13:39

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