Tests for Cointegration Based on Canonical Correlation Analysis
From MaRDI portal
Publication:4866625
DOI10.2307/2291335zbMath0852.62079OpenAlexW4235466595MaRDI QIDQ4866625
Publication date: 11 November 1996
Full work available at URL: https://doi.org/10.2307/2291335
Monte Carlopowercritical valuesmaximum likelihoodtrendsunit rootsvector autoregressioncanonical correlationsfinite samplesBox-Tiao procedurenew tests for cointegration
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20)
Related Items (7)
Forecast accuracy, coefficient bias and Bayesian vector autoregressions ⋮ On cointegration tests for VAR models with drift ⋮ Unit roots and cointegration modelling through a family of flexible information criteria ⋮ INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES ⋮ Testing for the cointegrating rank of a VAR process with a time trend ⋮ A simple cointegrating rank test without vector autoregression ⋮ Estimating cointegrated systems using subspace algorithms
This page was built for publication: Tests for Cointegration Based on Canonical Correlation Analysis