Inference about long run canonical correlations

DOI10.1111/J.1467-9892.2012.00798.XzbMATH Open1281.62180OpenAlexW1904914601MaRDI QIDQ5397941FDOQ5397941

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

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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)

Cites Work

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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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