Extreme canonical correlations and high-dimensional cointegration analysis
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Publication:2323383
DOI10.1016/j.jeconom.2019.04.032zbMath1452.62669OpenAlexW2795413142WikidataQ128027385 ScholiaQ128027385MaRDI QIDQ2323383
Publication date: 2 September 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://www.repository.cam.ac.uk/handle/1810/274673
Bartlett correctionextreme canonical correlationshigh-dimensional cointegrationmaximum eigenvalue statistictrace statistic
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (2)
Cointegration in large VARs ⋮ An Automated Approach Towards Sparse Single-Equation Cointegration Modelling
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