The asymptotic distribution of canonical correlations and variates in cointegrated models

DOI10.1073/PNAS.97.13.7068MaRDI QIDQ4488643zbMATH OpenOpenAlexWikidataFDO

Authors T. W. Anderson

Publication date 2 September 2001

Published in Proceedings of the National Academy of Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1073/pnas.97.13.7068

zbMATH Keywords

multivariate time seriesautoregressive process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20)

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(9)

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• Canonical Cointegrating Regressions
• Estimating the canonical disequilibrium model. Asymptotic theory and finite sample properties
• Alternative asymptotics for cointegration tests in large VARs
• ASYMPTOTIC INFERENCE ON THE MOVING AVERAGE IMPACT MATRIX IN COINTEGRATED I (2) VAR SYSTEMS
• The asymptotic distribution of canonical correlations and vectors in higher-order cointegrated models
• The role of the constant and linear terms in cointegration analysis of nonstationary variables
• Inference about long run canonical correlations
• Reduced rank regression in cointegrated models.

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