Strongly consistent determination of cointegrating rank via canonical correlations
This article is concerned with the statistical analysis of nonstationary, cointegrated time series. The estimation of the cointegrating structure of such time series is considered, and the problem of identifying the cointegrating rank is addressed. A methodology is presented that leads to strongly consistent estimates of this quantity. The identification is based on a canonical correlation analysis of the original variables and presents an alternative approach to those currently in vogue. The...[Show more]
|Collections||ANU Research Publications|
|Source:||Journal of Business and Economic Statistics|
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