A partially linear model of cointegration is developed where stationary covariates enter non-parametrically. We propose tests for cointegration using singular values of the estimated autore-gressive matrix. The tests are based on eigenvalues of standardized matrices and are relatively simple to compute. Asymptotic theory of the proposed test is developed. It is shown that the limiting distribution of the proposed test is similar to that of several tests in the recent literature. A Gamma approximationof the distribution is discussed to facilitate inference. Finite sample properties of the proposed procedure are illustrated in some limited Monte Carlo experiments. An empirical application to US macroeconomic time series is conducted to highlight theapproach.
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