Identifying Cointegration by Eigenanalysis-Reference-Cited by-同舟云学术

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Identifying Cointegration by Eigenanalysis

Published:2018-07-11 Issue:526 Volume:114 Page:916-927
ISSN:0162-1459
Container-title:Journal of the American Statistical Association
language:en
Short-container-title:Journal of the American Statistical Association

Author:

Zhang Rongmao¹,Robinson Peter²,Yao Qiwei³⁴

Affiliation:

1. School of Mathematics and School of Economics, Zhejiang University, Hangzhou, China

2. Department of Economics, London School of Economics, London, UK

3. Department of Statistics, London School of Economics, London, UK

4. Guanghua School of Management, Peking University, China

Funder

Economic and Social Research Council

Engineering and Physical Sciences Research Council

National Natural Science Foundation of China

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/01621459.2018.1458620

Reference32 articles.

1. SELECTING THE RANK OF THE COINTEGRATION SPACE AND THE FORM OF THE INTERCEPT USING AN INFORMATION CRITERION

2. Higher-order sample autocorrelations and the unit root hypothesis

3. Nonparametric cointegration analysis

4. Convergence of Probability Measures

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