Long Run Canonical Correlations : Estimation and Inference

This paper proposes methods for both the consistent estimation of so-called long run canonical correlations (LRCCs) and also testing the null hypothesis that a subset of LRCCs are zero. Two test statistics are proposed and their limiting distribution is derived under the null hypothesis. It is shown that the statistics provide a natural way for testing the asymptotic independence of two standardized sums. The tests are illustrated via an application to a cointegration model in which it is shown that inference is only tractable if a certain LRCC is zero

MoreLess

Year of publication:	2009
Authors:	Dovonon, Prosper
Other Persons:	Hall, Alastair R. (contributor) ; Jana, Kalidas (contributor)
Publisher:	[2009]: [S.l.] : SSRN
Subject:	Schätztheorie \| Estimation theory \| Korrelation \| Correlation \| Zeitreihenanalyse \| Time series analysis \| Induktive Statistik \| Statistical inference \| Schätzung \| Estimation

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10013155084