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.
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- Partial requirement for: Ph. D., Arizona State University, 2012Note typethesis
- Includes bibliographical references (p. 43-44)Note typebibliography
- Field of study: Economics