How to Determine the Number of Relations Among Deterministic Trends

Hatanaka (1998a) showedthat the number of relations between deterministic trends of different variables played an important role in empirical studies of macroeconomic theories. In the present paper two methods are presented to determine the number from the time-series data. The one investigates eigenvalues of the data covariance matrix on a parametric model of trends accommodating interrelationships. The other analyses OLS residuals on the basis of a looser concept of interrelated trends

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Year of publication:	2001
Authors:	Hatanaka, Michio
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| Zeitreihenanalyse \| Time series analysis
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: The Japanese Economic Review, Vol. 51, Issue 3, September 2000 Volltext nicht verfügbar
Classification:	C32 - Time-Series Models ; C50 - Econometric Modeling. General
Source:	ECONIS - Online Catalogue of the ZBW

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