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Original Articles

A test of cointegration rank based on principal component analysis

Pages 693-696 | Published online: 04 Jul 2008

References

  • Harris , D. 1997 . Principal components analysis of cointegrated time series . Econometric Theory , 13 : 529 – 57 .
  • Johansen , S. 1988 . Statistical analysis of cointegration vectors . Journal of Economic Dynamics and Control , 12 : 231 – 54 .
  • Johansen , S. 1991 . Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models . Econometrica , 59 : 1551 – 80 .
  • Phillips , P. C. B. and Perron , P. 1988 . Testing for a unit root in time series regression . Biometrika , 75 : 335 – 46 .
  • Said , S. E. and Dickey , D. A. 1984 . Testing for unit roots in autoregressive-moving average models of unknown order . Biometrika , 71 : 599 – 607 .
  • Snell , A. 1999 . Testing for r versus r-1 cointegrating vectors . Journal of Econometrics , 88 : 151 – 91 .

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