Inference about long run canonical correlations

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

zbMATH Keywords

cointegration; long run canonical correlations; asymptotic independence of standardized sums; canonical coherences; inference about and based on moment conditions

Mathematics Subject Classification ID

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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