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1998-12-01Buch DOI: 10.18452/3779
Canonical Correlation Statistics for Testing the Cointegration Rank in a Reversed Order
dc.contributor.authorBreitung, Jörg
dc.date.accessioned2017-06-15T22:05:43Z
dc.date.available2017-06-15T22:05:43Z
dc.date.created2006-03-16
dc.date.issued1998-12-01
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4431
dc.description.abstractIn this paper a Canonical Correlation Analysis (CCA) is used to test the hypothesis r = r0 against the alternative r < r0. Such a test flips the null and alternative hypotheses of Johansen’s LR test and can be used jointly with the LR test to construct a confidence set for the cointegration rank. As the latter test, our tests are based on the eigenvalues of a CCA between differences and lagged levels of a time series vector. The resulting test statistics can easily be adjusted for nuisance parameters using a nonparametric correction in the spirit of Phillips (1987, 1995). Monte Carlo simulations suggest that variants of the CCA statistic may have better properties than alternative tests and can be used as an alternative to Johansen’s LR tests for determining the cointegration rank.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subject.ddc330 Wirtschaft
dc.titleCanonical Correlation Statistics for Testing the Cointegration Rank in a Reversed Order
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10060766
dc.identifier.doihttp://dx.doi.org/10.18452/3779
dc.subject.dnb17 Wirtschaft
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.pages38
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume1998
local.edoc.container-issue105
local.edoc.container-year1998
local.edoc.container-erstkatid2135319-0

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