Extreme canonical correlations and high-dimensional cointegration analysis

DOI10.1016/j.jeconom.2019.04.032zbMath1452.62669WikidataQ128027385 ScholiaQ128027385MaRDI QIDQ2323383

Alexei Onatski, Chen Wang

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

zbMATH Keywords

Bartlett correction; extreme canonical correlations; high-dimensional cointegration; maximum eigenvalue statistic; trace statistic

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

An Automated Approach Towards Sparse Single-Equation Cointegration Modelling, Cointegration in large VARs

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