Inference about long run canonical correlations

DOI10.1111/J.1467-9892.2012.00798.XMaRDI QIDQ5397941zbMATH OpenOpenAlexFDO

Authors Prosper Dovonon, Alastair Hall, Kalidas Jana

Publication date 25 February 2014

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2012.00798.x

zbMATH Keywords

asymptotic independence of standardized sumscanonical coherencescointegrationinference about and based on moment conditionslong run canonical correlations

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(2)

• Contemporaneous and long run canonical correlations in the linear IV model: implications for instrument selection
• Extreme canonical correlations and high-dimensional cointegration analysis

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