The asymptotic distribution of canonical correlations and vectors in higher-order cointegrated models

DOI10.1073/pnas.071060498zbMath0990.62015OpenAlexW2096120368WikidataQ35854163 ScholiaQ35854163MaRDI QIDQ2717796

T. W. Anderson

Publication date: 18 June 2001

Published in: Proceedings of the National Academy of Sciences (Search for Journal in Brave)

Full work available at URL: http://www.pnas.org/cgi/content/abstract/98/9/4860

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (1)

Reduced rank regression in cointegrated models.

Cites Work

• Statistical analysis of cointegration vectors
• The asymptotic distribution of canonical correlations and variates in cointegrated models
• Some tests for parameter constancy in cointegrated VAR‐models
• Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions

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