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Principal Components Analysis of Cointegrated Time Series (1997)

Harris, David

New York : Cambridge University Press

Econometric theory 13 (1997), S. 529-557

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ISSN: 0266-4666

Source: Cambridge Journals Digital Archives

Topics: Economics

Notes: This paper considers the analysis of cointegrated time series using principal components methods. These methods have the advantage of requiring neither the normalization imposed by the triangular error correction model nor the specification of a finite-order vector autoregression. An asymptotically efficient estimator of the cointegrating vectors is given, along with tests forcointegration and tests of certain linear restrictions on the cointegrating vectors. An illustrative application is provided.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1017/S0266466600005995

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