On the use of canonical correlation analysis in testing common trends

MaRDI QIDQ4369002zbMATH OpenFDO

Authors Ngai Hang Chan, Ruey S. Tsay

Publication date 1996

zbMATH Keywords

bootstrapcanonical correlationsco-integrationDickey-Fuller testempirical critical valuessimulationvector time series

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Testing for Common Trends
• Tests for Cointegration Based on Canonical Correlation Analysis
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• ON THE PROPERTIES OF SOME TESTS FOR COMMON STOCHASTIC TRENDS

Cited in

(9)

• Testing for Common Trends
• A HETEROGENEITY TEST STATISTIC OF K CANONICAL CORRELATIONS AND ITS APPLICATION TO PRENATAL EXPOSURE
• A Closed Testing Procedure for Canonical Correlations
• ON THE PROPERTIES OF SOME TESTS FOR COMMON STOCHASTIC TRENDS
• Tests for Cointegration Based on Canonical Correlation Analysis
• scientific article; zbMATH DE number 2199134 (Why is no real title available?)
• On canonical analysis of vector time series
• Inference about long run canonical correlations
• THE STATISTICAL SIGNIFICANCE OF CANONICAL CORRELATIONS

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