This paper addresses the testing for cointegrating vectors and the estimation
of cointegrating relations using Partial Least Squares. Together with Harris
(1997) and Bossaerts (1988), the PLS approach relies on a method of
multivariate statistics and thus does not require identifying restrictions on
the cointegrating vectors or of a full specification of the short-run dynamics
of the process. The PLS estimator for the cointegrating vectors is found to be
super consistent and robust to heavy-tailed innovations. A test is provided for
the rank of cointegration which is assessed by means of Monte Carlo
simulation. A brief application to Mexican inflation data is also provided.
