Description
Estimating cointegrating relationships requires specific techniques. Canonical correlations are used to determine the rank and space of the cointegrating matrix. The vectors used to transform the data into canonical variables have an eigenvector representation, and the associated canonical correlations have an eigenvalue representation. The number of cointegrating relations is chosen based upon a theoretical difference in the convergence rates of the eignevalues. The number of cointegrating relations is consistently estimated using a threshold function which places a lower bound on the eigenvalues associated with cointegrating relations and an upper bound on the eigenvalues on the eigenvalues not associated with cointegrating relations. The proposed estimator performs better with a large number of cross-sectional observations and moderate time series length.
Details
Title
- Estimation and hypothesis testing of cointegration
Contributors
- Nowak, Adam (Author)
- Ahn, Seung C (Thesis advisor)
- Liu, Crocker (Committee member)
- Kallberg, Jarl (Committee member)
- Arizona State University (Publisher)
Date Created
The date the item was original created (prior to any relationship with the ASU Digital Repositories.)
2012
Subjects
Resource Type
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Note
- Partial requirement for: Ph. D., Arizona State University, 2012Note typethesis
- Includes bibliographical references (p. 43-44)Note typebibliography
- Field of study: Economics
Citation and reuse
Statement of Responsibility
by Adam Nowak