Principal Components Analysis of Cointegrated Time Series
Harris, David
10.4225/03/5934cc03e1809
https://bridges.monash.edu/articles/journal_contribution/Principal_Components_Analysis_of_Cointegrated_Time_Series/5072797
This paper considers the analysis of cointegrated time series using principal components methods. These methods have the advantage of neither requiring the normalisation 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 for cointegration and tests of certain linear restrictions on the cointegrating vectors. An illustrative application is provided.
2017-06-05 03:12:02
1959.1/36042
monash:6915
1996