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Applied Economics Letters Volume 15, 2008 - Issue 9
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Original Articles

A test of cointegration rank based on principal component analysis

Hiroaki Chigira Department of Economics, Hitotsubashi University, 2-1 Naka, Kunitachi, Tokyo, 186-8601, JapanCorrespondence[email protected]
Pages 693-696 | Published online: 04 Jul 2008

Citations (4)

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Read on this site (1)

Rosa Badillo, Jorge Belaire-Franch & Carmelo Reverte. (2010) Residual-based block bootstrap for cointegration testing. Applied Economics Letters 17:10, pages 999-1003.
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Articles from other publishers (3)

Yuanling Lin, Uwe Kruger, Fengshou Gu, Andrew Ball & Qian Chen. (2019) Monitoring Nonstationary Processes Using Stationary Subspace Analysis and Fractional Integration Order Estimation. Industrial & Engineering Chemistry Research 58:16, pages 6486-6504.
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Yuanling Lin, Uwe Kruger, Fengshou Gu, Andrew Ball & Qian Chen. (2019) Monitoring nonstationary and dynamic trends for practical process fault diagnosis. Control Engineering Practice 84, pages 139-158.
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Hiroaki Chigira & Taku Yamamoto. (2009) Forecasting in large cointegrated processes. Journal of Forecasting 28:7, pages 631-650.
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