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Canonical correlation statistics for testing the cointegration rank in a reversed order

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  • Breitung, Jörg

Abstract

In this paper a Canonical Correlation Analysis (CCA) is used to test the hypothesis r = r0 against the alternative r

Suggested Citation

  • Breitung, Jörg, 1998. "Canonical correlation statistics for testing the cointegration rank in a reversed order," SFB 373 Discussion Papers 1998,105, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    • Handle: RePEc:zbw:sfb373:1998105
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    References listed on IDEAS

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    7. Kirstin Hubrich & Helmut Lutkepohl & Pentti Saikkonen, 2001. "A Review Of Systems Cointegration Tests," Econometric Reviews, Taylor & Francis Journals, vol. 20(3), pages 247-318.
    8. Choi, In, 1994. "Residual-Based Tests for the Null of Stationarity with Applications to U.S. Macroeconomic Time Series," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 720-746, August.
    9. Boswijk, H Peter, 1996. "Testing Identifiability of Cointegrating Vectors," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(2), pages 153-160, April.
    10. Shin, Yongcheol, 1994. "A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration," Econometric Theory, Cambridge University Press, vol. 10(1), pages 91-115, March.
    11. Harris, David, 1997. "Principal Components Analysis of Cointegrated Time Series," Econometric Theory, Cambridge University Press, vol. 13(4), pages 529-557, February.
    12. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    13. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    14. Tanaka, Katsuto, 1990. "Testing for a Moving Average Unit Root," Econometric Theory, Cambridge University Press, vol. 6(4), pages 433-444, December.
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