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  • Search: subject:"Spectral Density Matrix"
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Year of publication
Subject
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Spectral Density Matrix 2 Tests of Rank 2 Latent root 1 spectral density matrix 1 time series 1
Online availability
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Free 3
Type of publication
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Book / Working Paper 3
Type of publication (narrower categories)
All
Working Paper 1
Language
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English 3
Author
All
Camba-Méndez, Gonzalo 2 Kapetanios, George 2 Ouliaris, Sam 1 Phillips, Peter C.B. 1
Institution
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Cowles Foundation for Research in Economics, Yale University 1 European Central Bank 1
Published in...
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Cowles Foundation Discussion Papers 1 ECB Working Paper 1 Working Paper Series / European Central Bank 1
Source
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RePEc 2 EconStor 1
Showing 1 - 3 of 3
Cover Image
Estimating the rank of the spectral density matrix
Camba-Méndez, Gonzalo; Kapetanios, George - 2004
The rank of the spectral density matrix conveys relevant information in a variety of statistical modelling scenarios …. This note shows how to estimate the rank of the spectral density matrix at any given frequency. The method presented is …
Persistent link: https://www.econbiz.de/10011604395
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Cover Image
Estimating the rank of the spectral density matrix
Camba-Méndez, Gonzalo; Kapetanios, George - European Central Bank - 2004
The rank of the spectral density matrix conveys relevant information in a variety of statistical modelling scenarios …. This note shows how to estimate the rank of the spectral density matrix at any given frequency. The method presented is …
Persistent link: https://www.econbiz.de/10005530713
Saved in:
Cover Image
Testing for Cointegration Using Principal Component Measures
Phillips, Peter C.B.; Ouliaris, Sam - Cowles Foundation for Research in Economics, Yale University - 1986
This paper studies cointegrated systems of multiple time series which are individually well described as integrated processes (with or without a drift). Necessary and sufficient conditions for cointegration are given. These conditions form the basis for a new class of statistical procedures...
Persistent link: https://www.econbiz.de/10005593644
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