Full metadata
Title
Estimation and hypothesis testing of cointegration
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.
Date Created
2012
Contributors
- Nowak, Adam (Author)
- Ahn, Seung C (Thesis advisor)
- Liu, Crocker (Committee member)
- Kallberg, Jarl (Committee member)
- Arizona State University (Publisher)
Topical Subject
Resource Type
Extent
iv, 55 p. : col. ill
Language
Copyright Statement
In Copyright
Primary Member of
Peer-reviewed
No
Open Access
No
Handle
https://hdl.handle.net/2286/R.I.16039
Statement of Responsibility
by Adam Nowak
Description Source
Viewed on Feb. 11, 2015
Level of coding
full
Note
Partial requirement for: Ph. D., Arizona State University, 2012
Note type
thesis
Includes bibliographical references (p. 43-44)
Note type
bibliography
Field of study: Economics
System Created
- 2013-01-17 06:42:47
System Modified
- 2021-08-30 01:43:23
- 2 years 8 months ago
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