Testing for cointegration using principal components methods

DOI10.1016/0165-1889(88)90040-1zbMath0647.62103OpenAlexW2076552736MaRDI QIDQ1104687

Publication date: 1988

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(88)90040-1

zbMATH Keywords

normal distribution principal components cointegrated systems of multiple time series diagnostics for the detection of cointegration Necessary and sufficient conditions for cointegration

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Cites Work