Principal Components Analysis of Cointegrated Time Series.

This paper considers the analysis of cointegrated time series using principal components methods. These methods have the advantage of neither requiring the normalisation imposed by the triangular eror correction model, nor the specification of a finite order vector autoregression.

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Year of publication:	1996
Authors:	Harris, D.
Institutions:	Department of Econometrics and Business Statistics, Monash Business School
Subject:	COINTEGRATION \| TIME SERIES \| EVALUATION

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Series:	Monash Econometrics and Business Statistics Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2/96 43 pages
Classification:	C22 - Time-Series Models ; C33 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005149119