Extreme canonical correlations and high-dimensional cointegration analysis
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Publication:2323383
DOI10.1016/j.jeconom.2019.04.032zbMath1452.62669WikidataQ128027385 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 correction; extreme canonical correlations; high-dimensional cointegration; maximum eigenvalue statistic; trace statistic
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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