Inference about long run canonical correlations
From MaRDI portal
Publication:5397941
DOI10.1111/j.1467-9892.2012.00798.xzbMath1281.62180MaRDI QIDQ5397941
Alastair R. Hall, Prosper Dovonon, 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
cointegration; long run canonical correlations; asymptotic independence of standardized sums; canonical coherences; inference about and based on moment conditions
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62M07: Non-Markovian processes: hypothesis testing
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