35
Views
10
CrossRef citations to date
0
Altmetric
Theory and Method

Tests for Cointegration Based on Canonical Correlation Analysis

&
Pages 990-996 | Received 01 Sep 1993, Published online: 27 Feb 2012

References

  • Banerjee , A. , Dolado , J. J. , Hendry , D. F. and Smith , G. W. 1986 . “Exploring Equilibrium Relationships in Econometrics Through Static Models: Some Monte Carlo Evidence,” . Oxford Bulletin of Economics and Statistics , 48 : 253 – 277 .
  • Bewley , R. A. and Orden , D. 1994 . “Alternative Methods for Estimating Long-Run Responses With Applications to Australian Import Demand,” . Econometric Reviews , 13 : 179 – 204 .
  • Bewley , R. A. , Orden , D. , Yang , M. and Fisher , L. A. 1994 . “Comparison of Box-Tiao and Johansen Canonical Estimators of Cointegrating Vectors in VEC(1) Models,” . Journal of Econometrics , 64 : 3 – 27 .
  • Billingsley , P. 1968 . Convergence of Probability Measures , New York : John Wiley .
  • Bossaerts , P. 1988 . “Common Nonstationary Components of Asset Prices,” . Journal of Economic Dynamics and Control , 12 : 348 – 364 .
  • Box , G. P. E. and Tiao , G. C. 1977 . “A Canonical Analysis of Multiple Time Series,” . Biometrika , 64 : 355 – 365 .
  • Cheung , Y.-W. and Lai , K. S. 1993 . “Finite-Sample Sizes of Johansen's Likelihood Ratio Tests for Cointegration,” . Oxford Bulletin of Economics and Statistics , 55 : 313 – 328 .
  • Dickey , D. A. and Fuller , W. A. 1979 . “Distribution of the Estimator for Autoregressive Time Series With a Unit Root,” . Journal of the American Statistical Association , 74 : 427 – 431 .
  • Engle , R. F. and Granger , C. W. J. 1987 . “Co-Integration and Error Correction: Representation, Estimation, and Testing,” . Econometrica , 55 : 251 – 276 .
  • Engle , R. F. and Yoo , B. S. 1987 . “Forecasting and Testing in Cointegrated Systems,” . Journal of Econometrics , 35 : 143 – 159 .
  • Fuller , W. A. 1976 . Introduction to Statistical Time Series , New York : John Wiley .
  • Johansen , S. 1988 . “Statistical Analysis of Cointegrating Vectors,” . Journal of Economic Dynamics and Control , 12 : 231 – 254 .
  • Johansen , S. 1991 . “Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models,” . Econometrica , 59 : 1551 – 1580 .
  • Johansen , S. 1992a . “A Representation of Vector Autoregressive Processes Integrated of Order 2,” . Econometric Theory , 8 : 188 – 202 .
  • Johansen , S. 1992b . “The Asymptotic Distribution of the Box-Tiao Estimator,” unpublished manuscript
  • Johansen , S. and Juselius , K. 1990 . “Maximum Likelihood Estimation and Inference on Cointegration–With Applications to the Demand for Money,” . Oxford Bulletin of Economics and Statistics , 52 : 169 – 210 .
  • Kinderman , A. J. and Ramage , J. G. 1976 . “Computer Generation of Normal Random Variables,” . Journal of the American Statistical Association , 71 : 893 – 896 .
  • McKinnon , J. G. 1991 . “Critical Values for Cointegration Tests,” . In Long-Run Relationships , Edited by: Engle , R. F. and Granger , C. W.J. 267 – 276 . Oxford , , UK : Oxford University Press .
  • Ooms , M. and VanDijk , H. K. 1992 . “Estimating Pushing Trends and Pulling Equilibria,” , Erasmus University Rotterdam, Econometric Institute . Report 9271/A
  • Phillips , P. C. B. 1987 . “Time Series Regression With a Unit Root,” . Econometrica , 55 : 277 – 302 .
  • Phillips , P. C. B. and Durlauf , S. N. 1986 . “Multiple Time Series Regression With Integrated Processes,” . Review of Economic Studies , 53 : 473 – 495 .
  • Phillips , P. C. B. and Ouliaris , S. 1990 . “Asymptotic Properties of Residual-Based Tests for Cointegration,” . Econometrica , 58 : 165 – 193 .
  • Press , W. H. , Teukolsky , S. A. , Vetterling , W. T. and Flannery , B. F. 1992 . Numerical Recipes in FORTRAN, , 2nd ed. , Cambridge , , UK : Cambridge University Press .
  • Reinsel , G. C. and Ahn , S. K. 1992 . “Vector Autoregressive Models With Unit Roots and Reduced Rank Structure: Estimation, Likelihood Ratio Test, and Forecasting,” . Journal of Time Series Analysis , 13 : 353 – 375 .
  • Stock , J. H. and Watson , M. W. 1988 . “Testing for Common Trends,” . Journal of the American Statistical Association , 83 : 1097 – 1107 .
  • Yang , M. 1994 . “Canonical Correlation Analysis of Cointegrated Processes,” , University of New South Wales, School of Economics . unpublished Ph.D. dissertation

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.