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Estimation and Hypothesis Testing of Cointegration


Abstract 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... (more)
Created Date 2012
Contributor Nowak, Adam Daniel (Author) / Ahn, Seung C (Advisor) / Liu, Crocker (Committee member) / Kallberg, Jarl (Committee member) / Arizona State University (Publisher)
Subject Economics / Statistics / Canonical Correlation / Cointegration / Eigenvalues
Type Doctoral Dissertation
Extent 60 pages
Language English
Copyright
Reuse Permissions All Rights Reserved
Note Ph.D. Economics 2012
Collaborating Institutions Graduate College / ASU Library
Additional Formats MODS / OAI Dublin Core / RIS


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Description Dissertation/Thesis