Inference about long run canonical correlations

DOI10.1111/J.1467-9892.2012.00798.XMaRDI QIDQ5397941zbMATH OpenOpenAlexFDO

Authors Prosper Dovonon, Alastair Hall, Kalidas Jana

Publication date 25 February 2014

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2012.00798.x

zbMATH Keywords

cointegrationlong run canonical correlationsasymptotic independence of standardized sumscanonical coherencesinference about and based on moment conditions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)

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Cited in

(2)

• Extreme canonical correlations and high-dimensional cointegration analysis
• Contemporaneous and long run canonical correlations in the linear IV model: implications for instrument selection

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